U.S. patent application number 14/644525 was filed with the patent office on 2015-09-17 for market operation through regulation of incoming order match allocation and/or dynamic resting order match allocation priorities.
The applicant listed for this patent is Chicago Mercantile Exchange Inc.. Invention is credited to Jose Antonio Acuna-Rohter, Zachary Bonig, Paul Callaway, Sean Castette, Pearce Peck-Walden, Kireeti Reddy, Akira Yamaguchi.
Application Number | 20150262298 14/644525 |
Document ID | / |
Family ID | 54069364 |
Filed Date | 2015-09-17 |
United States Patent
Application |
20150262298 |
Kind Code |
A1 |
Callaway; Paul ; et
al. |
September 17, 2015 |
MARKET OPERATION THROUGH REGULATION OF INCOMING ORDER MATCH
ALLOCATION AND/OR DYNAMIC RESTING ORDER MATCH ALLOCATION
PRIORITIES
Abstract
The disclosed embodiments relate to systems and methods which
match or otherwise allocate an incoming order to trade with
"resting," i.e. previously received but not yet matched (fully
satisfied), orders, recognizing that the algorithm or rules by
which the incoming order is matched/allocated may affect the
operation of the market for the financial product being traded. In
particular, the disclosed embodiments relate to regulation of a
rate of incoming orders by buffering or otherwise batching orders
together as they are received and subsequently forwarding batches
of orders to a match engine for processing thereby in a manner
which may equalize orders from traders having varying abilities to
rapid submit orders or otherwise capitalize on market events. The
disclosed embodiments further relate to prioritizing the matching
of resting orders against an incoming order. In particular, the
disclosed embodiments alter the priority of a given resting order
to match against an incoming order, relative to other suitably
matching resting orders, as a function of how long the orders have
been resting on the order book.
Inventors: |
Callaway; Paul; (Chicago,
IL) ; Castette; Sean; (Chicago, IL) ; Reddy;
Kireeti; (Chicago, IL) ; Yamaguchi; Akira;
(Chicago, IL) ; Acuna-Rohter; Jose Antonio;
(Chicago, IL) ; Peck-Walden; Pearce; (Chicago,
IL) ; Bonig; Zachary; (Chicago, IL) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
Chicago Mercantile Exchange Inc. |
Chicago |
IL |
US |
|
|
Family ID: |
54069364 |
Appl. No.: |
14/644525 |
Filed: |
March 11, 2015 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
|
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61951147 |
Mar 11, 2014 |
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/04 20130101 |
International
Class: |
G06Q 40/04 20120101
G06Q040/04 |
Claims
1. A system for determining, by an electronic trading system, an
allocation of an incoming order for a transaction of a quantity of
a financial instrument at an order price among a plurality of
previously received but unsatisfied orders, stored in a first
memory, for a transaction counter thereto at the order price for a
total quantity of the financial instrument that is less than the
quantity of the incoming order, wherein each of the plurality of
previously received but unsatisfied orders is characterized by a
time of receipt at which the previously received but unsatisfied
order was received by the electronic trading system, the system
comprising: first logic stored in a second memory and executable by
a first processor coupled therewith to cause the first processor to
receive the incoming order; second logic stored in the second
memory and executable by the first processor to cause the first
processor to determine an elapse of time and based on the magnitude
thereof, divide the plurality of previously received but
unsatisfied orders into at least one non-overlapping subset
thereof, each comprising at least one of the plurality of
previously received but unsatisfied orders, as a function of the
time of receipt thereof; and third logic stored in the second
memory and executable by the first processor to cause the first
processor to allocate the quantity of the incoming order to each of
the at least one subset of previously received but unsatisfied
orders according to a first allocation algorithm and subsequently
thereto, allocate the quantity allocated to each subset of
previously received but unsatisfied orders among the previously
received but unsatisfied orders thereof according to a second
allocation algorithm different from the first allocation
algorithm.
2. The system of claim 1 for further regulating incoming order
allocation in the electronic trading system, the system further
comprising: fourth logic stored in a third memory and executable by
a second processor coupled therewith to cause the second processor
to determine an occurrence of an event; fifth logic stored in the
third memory and executable by the second processor to cause the
second processor to receive an incoming order and store the
received incoming order in the second memory; and sixth logic
stored in the third memory and executable by the second processor
to cause the second processor to, upon the occurrence of the event,
forward at least a subset of the stored received incoming orders to
the first logic.
3. A system for determining, by an electronic trading system, an
allocation of an incoming order for a transaction of a quantity of
a financial instrument at an order price among a plurality of
previously received but unsatisfied orders, stored in a match
engine memory, for a transaction counter thereto at the order price
for a total quantity of the financial instrument that is less than
the quantity of the incoming order, wherein each of the plurality
of previously received but unsatisfied orders is characterized by a
time of receipt at which the previously received but unsatisfied
order was received by the electronic trading system, the system
comprising: a match engine order receiver operative to receive the
incoming order; an order monitor coupled with the match engine
memory and operative to determine an elapse of time and based on
the magnitude thereof, divide the plurality of previously received
but unsatisfied orders into at least one non-overlapping subset
thereof, each comprising at least one of the plurality of
previously received but unsatisfied orders, as a function of the
time of receipt thereof; and an order allocator coupled with the
match engine memory, the match engine order receiver and the order
monitor and operative to allocate the quantity of the incoming
order to each of the at least one subset of previously received but
unsatisfied orders according to a first allocation algorithm and
subsequently thereto, allocate the quantity allocated to each
subset of previously received but unsatisfied orders among the
previously received but unsatisfied orders thereof according to a
second allocation algorithm different from the first allocation
algorithm.
4. The system of claim 3 wherein the quantity of the incoming order
further comprises a residual quantity thereof remaining after fully
satisfying one or more other previously received but unsatisfied
orders for a transaction counter thereto at a price better than the
order price for a total quantity of the financial instrument that
is less than the quantity of the incoming order.
5. The system of claim 3 wherein the time of receipt of each of the
plurality of previously received but unsatisfied orders comprises a
time at which the electronic trading system determined the
previously received order was unsatisfied.
6. The system of claim 3 wherein the order monitor is operative to
determine the elapse of time as the amount of time passed since an
event has occurred.
7. The system of claim 3 wherein the order monitor is operative to
determine the elapse of time as the amount of time passed since the
oldest of the plurality of previously received but unsatisfied
orders was received by the electronic trading system.
8. The system of claim 3 wherein the order monitor is operative to
determine the elapse of time as the amount of time passed since a
first previously received order for a transaction of a quantity of
the financial instrument at the order price was determined to be
unsatisfied when there were no other previously received but
unsatisfied orders at the order price received prior thereto stored
in the match engine memory.
9. The system of claim 8 wherein the order monitor is operative to
determine the elapse of time as the amount of time passed since the
first previously received order for a transaction of a quantity of
the financial instrument at the order price in excess of a
threshold quantity was determined to be unsatisfied when there were
no other previously received but unsatisfied orders at the order
price received prior thereto stored in the memory.
10. The system of claim 3 wherein the previously received but
unsatisfied orders of a subset are all accorded a time of receipt
by the electronic trading system associated with the oldest
previously received but unsatisfied order of the subset for use by
the order monitor after a subsequent determination of an elapse of
time.
11. The system of claim 3 wherein the division of the plurality of
previously received but unsatisfied orders into the at least one
subset thereof is based on the time of receipt of each of the
plurality of previously received but unsatisfied orders being
within a threshold of the time of receipt of another of the
plurality of previously received but unsatisfied orders, the
magnitude of the threshold being a function of the magnitude of the
determined elapse of time, wherein those previously received but
unsatisfied orders having a time of receipt within the threshold of
another of the plurality of previously received but unsatisfied
orders are included in the same subset.
12. The system of claim 3 wherein the division of the plurality of
previously received but unsatisfied orders is based on the time of
receipt of thereof rounded up to a threshold time increment, the
magnitude of the threshold time increment being a function of the
magnitude of the determined elapse of time, wherein those
previously received but unsatisfied orders having a rounded time of
receipt within the same threshold time increment are included in
the same subset.
13. The system of claim 3 wherein the division of the plurality of
previously received but unsatisfied orders increasingly reduces
differentiation of the plurality of previously received but
unsatisfied orders by their time of receipt as the magnitude of the
elapse of time increases.
14. The system of claim 13 wherein as the magnitude of the elapse
of time increases, the number of subsets of the plurality of
previously received but unsatisfied orders decreases.
15. The system of claim 3 wherein the first allocation algorithm
comprises first in first out ("FIFO") and the second allocation
algorithm comprises pro rata.
16. A computer implemented method for determining, by an electronic
trading system, an allocation of an incoming order for a
transaction of a quantity of a financial instrument at an order
price among a plurality of previously received but unsatisfied
orders, stored in a match engine memory, for a transaction counter
thereto at the order price for a total quantity of the financial
instrument that is less than the quantity of the incoming order,
wherein each of the plurality of previously received but
unsatisfied orders is characterized by a time of receipt at which
the previously received but unsatisfied order was received by the
electronic trading system, the method comprising: receiving, by a
match engine processor, the incoming order; determining, by the
match engine processor, an elapse of time and based on the
magnitude thereof, dividing the plurality of previously received
but unsatisfied orders into at least one non-overlapping subset
thereof, each comprising at least one of the plurality of
previously received but unsatisfied orders, as a function of the
time of receipt thereof; and allocating, by the match engine
processor, the quantity of the incoming order to each of the at
least one subset of previously received but unsatisfied orders
according to a first allocation algorithm and subsequently thereto,
allocating the quantity allocated to each subset of previously
received but unsatisfied orders among the previously received but
unsatisfied orders thereof according to a second allocation
algorithm different from the first allocation algorithm.
17. The computer implemented method of claim 16 wherein the
quantity of the incoming order further comprises a residual
quantity thereof remaining after fully satisfying one or more other
previously received but unsatisfied orders for a transaction
counter thereto at a price better than the order price for a total
quantity of the financial instrument that is less than the quantity
of the incoming order.
18. The computer implemented method of claim 16 wherein the time of
receipt of each of the plurality of previously received but
unsatisfied orders comprises a time at which the electronic trading
system determined the previously received order was
unsatisfied.
19. The computer implemented method of claim 16 wherein the
determining further comprises determining the elapse of time as the
amount of time passed since an event has occurred.
20. The computer implemented method of claim 16 wherein the
determining further comprises determining the elapse of time as the
amount of time passed since the oldest of the plurality of
previously received but unsatisfied orders was received by the
electronic trading system.
21. The computer implemented method of claim 16 wherein the
determining further comprises determining the elapse of time as the
amount of time passed since a first previously received order for a
transaction of a quantity of the financial instrument at the order
price was determined to be unsatisfied when there were no other
previously received but unsatisfied orders at the order price
received prior thereto stored in the memory.
22. The computer implemented method of claim 21 wherein the
determining further comprises determining the elapse of time as the
amount of time passed since the first previously received order for
a transaction of a quantity of the financial instrument at the
order price in excess of a threshold quantity was determined to be
unsatisfied when there were no other previously received but
unsatisfied orders at the order price received prior thereto stored
in the memory.
23. The computer implemented method of claim 21 wherein the elapse
of time resets upon satisfaction or cancellation of all of the
plurality of previously received but unsatisfied orders.
24. The computer implemented method of claim 16 wherein the
previously received but unsatisfied orders of a subset are all
accorded a time of receipt associated with the oldest previously
received but unsatisfied order of the subset for use by the order
monitor after a subsequent determination of an elapse of time.
25. The computer implemented method of claim 16 wherein the
division of the plurality of previously received but unsatisfied
orders into the at least one subset thereof is based on the time of
receipt of each of the plurality of previously received but
unsatisfied orders being within a threshold of the time of receipt
of another of the plurality of previously received but unsatisfied
orders, the magnitude of the threshold being a function of the
magnitude of the determined elapse of time, wherein those
previously received but unsatisfied orders having a time of receipt
within the threshold of another of the plurality of previously
received but unsatisfied orders are included in the same
subset.
26. The computer implemented method of claim 16 wherein the
division of the plurality of previously received but unsatisfied
orders is based on the time of receipt of thereof rounded up to a
threshold time increment, the magnitude of the threshold time
increment being a function of the magnitude of the determined
elapse of time, wherein those previously received but unsatisfied
orders having a rounded time of receipt within the same threshold
time increment are included in the same subset.
27. The computer implemented method of claim 16 wherein the
division of the plurality of previously received but unsatisfied
orders increasingly reduces differentiation of the plurality of
previously received but unsatisfied orders by their time of receipt
as the magnitude of the elapse of time increases.
28. The computer implemented method of claim 16 wherein the first
allocation algorithm comprises first in first out ("FIFO") and the
second allocation algorithm comprises pro rata.
Description
REFERENCE TO RELATED APPLICATIONS
[0001] This application claims the benefit of the filing date under
35 U.S.C. .sctn.119(e) of U.S. Provisional Application Ser. No.
61/951,147 filed Mar. 11, 2014, the entirety of which is hereby
incorporated by reference.
BACKGROUND
[0002] A financial instrument trading system, such as a futures
exchange, referred to herein also as an "Exchange", such as the
Chicago Mercantile Exchange Inc. (CME), provides a contract market
where financial products/instruments, for example futures and
options on futures, are traded. Futures is a term used to designate
all contracts for the purchase or sale of financial instruments or
physical commodities for future delivery or cash settlement on a
commodity futures exchange. A futures contract is a legally binding
agreement to buy or sell a commodity at a specified price at a
predetermined future time, referred to as the expiration date or
expiration month. An option is the right, but not the obligation,
to sell or buy the underlying instrument (in this case, a futures
contract) at a specified price within a specified time. The
commodity to be delivered in fulfillment of the contract, or
alternatively, the commodity, or other instrument/asset, for which
the cash market price shall determine the final settlement price of
the futures contract, is known as the contract's underlying
reference or "underlier." The terms and conditions of each futures
contract are standardized as to the specification of the contract's
underlying reference commodity, the quality of such commodity,
quantity, delivery date, and means of contract settlement. Cash
Settlement is a method of settling a futures contract whereby the
parties effect final settlement when the contract expires by
paying/receiving the loss/gain related to the contract in cash,
rather than by effecting physical sale and purchase of the
underlying reference commodity at a price determined by the futures
contract price.
[0003] Typically, the Exchange provides for a centralized "clearing
house" through which all trades made must be confirmed, matched,
and settled each day until offset or delivered. The clearing house
is an adjunct to the Exchange, and may be an operating division
thereof, which is responsible for settling trading accounts,
clearing trades, collecting and maintaining performance bond funds,
regulating delivery, and reporting trading data. The essential role
of the clearing house is to mitigate credit risk. Clearing is the
procedure through which the Clearing House becomes buyer to each
seller of a futures contract, and seller to each buyer, also
referred to as a novation, and assumes responsibility for
protecting buyers and sellers from financial loss due to breach of
contract, by assuring performance on each contract. A clearing
member is a firm qualified to clear trades through the Clearing
House.
[0004] Current financial instrument trading systems allow traders
to submit orders and receive confirmations, market data, and other
information electronically via a network. These "electronic"
marketplaces have largely supplanted the pit based trading systems
whereby the traders, or their representatives, all physically stand
in a designated location, i.e. a trading pit, and trade with each
other via oral and hand based communication. In contrast to the pit
based trading system where like-minded buyers and sellers can
readily find each other to trade, electronic marketplaces must
electronically "match" the orders placed by buyers and sellers on
behalf thereof. Electronic trading systems may offer a more
efficient and transparent system of trading. For example, in pit
trading, subjective elements and limits on human interaction may
influence the process by which buyers and sellers come together to
trade or otherwise limit the trading opportunities, limiting market
liquidity. In contrast, an electronic exchange may be more
objective when matching up a buyer and seller, relying solely on
objective factors such as price and time of order placement, etc.
As such, electronic trading systems may achieve more fair and
equitable matching among traders as well as identify more
opportunities to trade, thereby improving market liquidity.
BRIEF DESCRIPTION OF THE DRAWINGS
[0005] FIG. 1 depicts an illustrative computer network system that
may be used to implement aspects of the disclosed embodiments.
[0006] FIG. 2 depicts a block diagram of an exemplary
implementation of the system of FIG. 1 for regulating incoming
order.
[0007] FIG. 3 depicts a block diagram of an exemplary
implementation of the system of FIG. 1 for prioritizing allocation
of incoming orders to resting orders.
[0008] FIG. 4 shows an illustrative embodiment of a general
computer system for use with the system of FIGS. 1-3.
[0009] FIG. 5 depicts a flow chart showing operation of the system
of FIGS. 1 and 2.
[0010] FIG. 6 depicts a flow chart showing operation of the system
of FIGS. 1 and 3.
[0011] FIGS. 7A-D depict exemplary order allocations according to
the disclosed embodiments.
DETAILED DESCRIPTION
[0012] The disclosed embodiments relate to systems and methods
which match or otherwise allocate an incoming order to trade with
"resting," i.e. previously received but not yet matched (fully
satisfied), orders, recognizing that the algorithm or rules by
which the incoming order is matched/allocated may affect the
operation of the market for the financial product being traded. In
particular, the disclosed embodiments relate to regulation of a
rate of incoming orders by buffering or otherwise batching orders
together as they are received and subsequently forwarding batches
of orders to a match engine for processing thereby in a manner
which may equalize orders from traders having varying abilities to
rapidly submit orders or otherwise capitalize on market events. The
disclosed embodiments further relate to prioritizing the matching
of resting orders against an incoming order. In particular, the
disclosed embodiments alter the priority of a given resting order
to match against an incoming order, relative to other suitably
matching resting orders, as a function of how long the orders have
been resting on the order book.
[0013] While the disclosed embodiments may be discussed in relation
to futures and/or options on futures trading, it will be
appreciated that they may be applicable to any equity, options or
futures trading system, e.g., exchange, Electronic Communication
Network ("ECN"), Alternative Trading System ("ATS"), or Swap
Execution Facility ("SEF"), or market now available or later
developed, e.g. cash, Futures, etc., as well as any instrument
traded thereon. It will be appreciated that a trading environment,
such as a futures exchange as described herein, implements one or
more economic markets where rights and obligations may be traded.
As such, a trading environment may be characterized by a need to
maintain market integrity, transparency, predictability,
fair/equitable access and participant expectations with respect
thereto. For example, an exchange must respond to inputs, such as
trade orders, cancellation, etc., in a manner as expected by the
market participants, such as based on market data, e.g. prices,
available counter-orders, etc., to provide an expected level of
certainty that transactions will occur in a consistent and
predictable manner and without unknown or unascertainable risks. In
addition, it will be appreciated that electronic trading systems
further impose additional expectations and demands by market
participants as to transaction processing speed, latency, capacity
and response time, while creating additional complexities relating
thereto. Accordingly, as will be described, the disclosed
embodiments may further include functionality to ensure that the
expectations of market participant are met, e.g. that transactional
integrity and predictable system responses are maintained.
[0014] As was discussed above, electronic trading systems ideally
attempt to offer an objective, efficient, fair and balanced market
where market prices reflect a true consensus of the value of
products traded among the market participants, where the
intentional or unintentional influence of human interaction is
minimized if not eliminated, and where unfair or inequitable
advantages with respect to information access are minimized if not
eliminated.
[0015] Further, as discussed above, an exchange provides one or
more markets for the purchase and sale of various types of products
including financial instruments such as stocks, bonds, futures
contracts, options, currency, cash, and other similar instruments.
Agricultural products and commodities are also examples of products
traded on such exchanges. A futures contract is a product that is a
contract for the future delivery of another financial instrument
such as a quantity of grains, metals, oils, bonds, currency, or
cash. Generally, each exchange establishes a specification for each
market provided thereby that defines at least the product traded in
the market, minimum quantities that must be traded, and minimum
changes in price (e.g., tick size). For some types of products
(e.g., futures or options), the specification further defines a
quantity of the underlying product represented by one unit (or lot)
of the product, and delivery and expiration dates. As will be
described, the Exchange may further define the matching algorithm,
or rules, by which incoming orders will be matched/allocated to
resting orders.
[0016] Some products on an exchange are traded in an open outcry
environment where the exchange provides a location for buyers and
sellers to meet and negotiate a price for a quantity of a product.
Other products are traded on an electronic trading platform (e.g.,
an electronic exchange), also referred to herein as a trading
platform, electronic trading system, trading host or Exchange
Computer System, where market participants, e.g. traders, use
software to send orders to the trading platform. The order
identifies the product, the quantity of the product the trader
wishes to trade, a price at which the trader wishes to trade the
product, and a direction of the order (i.e., whether the order is a
bid, i.e. an offer to buy, or an ask, i.e. an offer to sell). It
will be appreciated that there may be other order types or messages
that traders can send including requests to modify or cancel a
previously submitted order.
[0017] In particular, electronic trading of financial instruments,
such as futures contracts, is conducted by market participants
sending orders, such as to buy or sell one or more futures
contracts, in electronic form to the Exchange. These electronically
submitted orders to buy and sell are then matched, if possible, by
the Exchange, i.e. by the Exchange's matching engine, to execute a
trade. Outstanding (unmatched, wholly unsatisfied/unfilled or
partially satisfied/filled) orders are maintained in one or more
data structures or databases referred to as "order books," such
orders being referred to as "resting," and made visible, i.e.,
their availability for trading is advertised, to the market
participants through electronic notifications/broadcasts, referred
to as market data feeds. An order book is typically maintained for
each product, e.g. instrument, traded on the electronic trading
system and generally defines or otherwise represents the state of
the market for that product, i.e. the current prices at which the
market participants are willing buy or sell that product. As such,
as used herein, an order book for a product may also be referred to
as a market for that product.
[0018] In the exemplary embodiments, all transactions for a
particular market may be ultimately received at the electronic
trading system via one or more points of entry, e.g. one or more
communications interfaces, at which the disclosed embodiments apply
determinism, which as described may be at the point where matching
occurs, e.g. at each match engine (where there may be multiple
match engines, each for a given product/market, or moved away from
the point where matching occurs and closer to the point where the
electronic trading system first becomes "aware" of the incoming
transaction, such as the point where transaction messages, e.g.
orders, ingress the electronic trading system. Generally, the terms
"determinism" or "transactional determinism" may refer to the
processing, or the appearance thereof, of orders in accordance with
defined business rules. Accordingly, as used herein, the point of
determinism may be the point at which the electronic trading system
ascribes an ordering to incoming transactions/orders relative to
other incoming transactions/orders such that the ordering may be
factored into the subsequent processing, e.g. matching, of those
transactions/orders as will be described. See U.S. patent
application Ser. No. 14/074,675, filed on Nov. 7, 2013, published
as U.S. patent application Publication Ser. No. ______, entitled
"TRANSACTIONALLY DETERMINISTIC HIGH SPEED FINANCIAL EXCHANGE HAVING
IMPROVED, EFFICIENCY, COMMUNICATION, CUSTOMIZATION, PERFORMANCE,
ACCESS, TRADING OPPORTUNITIES, CREDIT CONTROLS, AND FAULT
TOLERANCE", incorporated by reference herein.
[0019] Upon receipt of an incoming order to trade in a particular
financial instrument, whether for a single component financial
instrument, e.g. a single futures contract, or for multiple
component financial instruments, e.g. a combination contract such
as a spread contract, a match engine, as will be described in
detail below, will attempt to identify a previously received but
unsatisfied order counter thereto, i.e. for the opposite
transaction (buy or sell) in the same financial instrument at the
same or better price (but not necessarily for the same quantity
unless, for example, either order specifies a condition that it
must be entirely filled or not at all). Previously received but
unsatisfied orders, i.e. orders which either did not match with a
counter order when they were received or their quantity was only
partially satisfied, referred to as a partial fill, are maintained
by the electronic trading system in an order book database/data
structure to await the subsequent arrival of matching orders or the
occurrence of other conditions which may cause the order to be
removed from the order book.
[0020] If the match engine identifies one or more suitable
previously received but unsatisfied counter orders, they, and the
incoming order, are matched to execute a trade there between to at
least partially satisfy the quantities of one or both the incoming
order or the identified orders. If there remains any residual
unsatisfied quantity of the identified one or more orders, those
orders are left on the order book with their remaining quantity to
await a subsequent suitable counter order, i.e. to rest. If the
match engine does not identify a suitable previously received but
unsatisfied counter order, or the one or more identified suitable
previously received but unsatisfied counter orders are for a lesser
quantity than the incoming order, the incoming order is placed on
the order book, referred to as "resting", with original or
remaining unsatisfied quantity, to await a subsequently received
suitable order counter thereto. The match engine then generates
match event data, as was described above, reflecting the result of
this matching process. Other components of the electronic trading
system, as will be described, then generate the respective order
acknowledgment and market data messages and transmit those messages
to the market participants.
[0021] As was described above, the financial instruments which are
the subject of the orders to trade, may include one or more
component financial instruments. While each financial instrument
may have its own order book, i.e. market, in which it may be
traded, in the case of a financial instrument having more than one
component financial instrument, those component financial
instruments may further have their own order books in which they
may be traded. Accordingly, when an order for a financial
instrument is received, it may be matched against a suitable
counter order in its own order book or, possibly, against a
combination of suitable counter orders in the order books the
component financial instruments thereof, or which share a common
component financial instrument. For example, an order for a spread
contract comprising component financial instruments A and B may be
matched against another suitable order for that spread contract.
However, it may also be matched against suitable separate counter
orders for the A and for the B component financial instruments
found in the order books therefore. Similarly, if an order for the
A contract is received and suitable match cannot be found in the A
order book, it may be possible to match order for A against a
suitable counter order for a spread contract comprising the A and B
component financial instruments and a suitable counter order for
the B component financial instrument. This is referred to as
"implication" where a given order for a financial instrument may be
matched via a combination of suitable counter orders for financial
instruments which share common, or otherwise interdependent,
component financial instruments.
[0022] The order for a particular financial instrument actually
received from a market participant, whether it comprises one or
more component financial instruments, is referred to as a "real" or
"outright" order, or simply as an outright. The one or more orders
which must be synthesized into order books other than the order
book for the outright order in order to create matches therein, are
referred to as "implied" orders. Upon receipt of an incoming order,
the identification or derivation of suitable implied orders which
would allow at least a partial trade of the incoming outright order
to be executed is referred to as "implied matching", the identified
orders being referred to as an "implied match." Depending on the
number component financial instruments involved, and whether those
component financial instruments further comprise component
financial instruments of their own, there may be numerous different
implied matches identified which would allow the incoming order to
be at least partially matched and mechanisms may be provided to
arbitrate among them, such as by picking the implied match
comprising the least number of component financial instruments or
the least number of synthesized orders.
[0023] Upon receipt of an incoming order, or thereafter, the
identification or derivation of a combination of one or more
suitable counter orders which have not actually been received but
if they were received, would allow at least a partial trade of the
incoming order to be executed, is referred to as an "implied
opportunity." As with implied matches, there may be numerous
implied opportunities identified for a given incoming order.
Implied opportunities are advertised to the market participants,
such as via suitable synthetic orders, e.g. counter to the desired
order, being placed on the respective order books to rest (or give
the appearance that there is an order resting) and presented via
the market data feed to appear available to trade in order to
solicit the desired orders from the market participants. Depending
on the number component financial instruments involved, and whether
those component financial instruments further comprise component
financial instruments of their own, there may be numerous implied
opportunities, the submission thereof, would allow the incoming
order to be at least partially matched.
[0024] Implied opportunities, e.g. the advertised synthetic orders,
may frequently have better prices than the corresponding real
orders in the same contract. This can occur when two or more
traders incrementally improve their order prices in the hope of
attracting a trade, since combining the small improvements from two
or more real orders can result in a big improvement in their
combination. In general, advertising implied opportunities at
better prices will encourage traders to enter the opposing orders
to trade with them. The more implied opportunities that the match
engine of an electronic trading system can calculate/derive, the
greater this encouragement will be and the more the Exchange will
benefit from increased transaction volume. However, identifying
implied opportunities may be computationally intensive. In a high
performance trading system where low transaction latency is
important, it may be important to identify and advertise implied
opportunities quickly so as to improve or maintain market
participant interest and/or market liquidity.
[0025] Matching, which is a function typically performed by the
Exchange, is a process, for a given order which specifies a desire
to buy or sell a quantity of a particular instrument at a
particular price, of seeking/identifying one or more wholly or
partially, with respect to quantity, satisfying counter orders
thereto, e.g. a sell counter to an order to buy, or vice versa, for
the same instrument at the same, or sometimes better, price (but
not necessarily the same quantity), which are then paired for
execution to complete a trade between the respective market
participants (via the Exchange) and at least partially satisfy the
desired quantity of one or both of the order and/or the counter
order, with any residual unsatisfied quantity left to await another
suitable counter order, referred to as "resting."
[0026] The Exchange Computer System, as will be described below,
monitors incoming orders received thereby and attempts to identify,
i.e., match or allocate, as will be described in more detail below,
one or more previously received, but not yet matched, orders, i.e.
limit orders to buy or sell a given quantity at a give price,
referred to as "resting" orders, stored in an order book database,
wherein each identified order is contra to the incoming order and
has a favorable price relative to the incoming order. An incoming
order may be an "aggressor" order, i.e., a market order to sell a
given quantity at whatever may be the current resting bid order
price(s) or a market order to buy a given quantity at whatever may
be the current resting ask order price(s). An incoming order may be
a "market making" order, i.e. a market order to buy or sell at a
price for which there are currently no resting orders. In
particular, if the incoming order is a bid, i.e. an offer to buy,
then the identified order(s) will be an ask, i.e. an offer to sell,
at a price that is identical to or higher than the bid price.
Similarly, if the incoming order is an ask, i.e. an offer to sell,
the identified order(s) will be a bid, i.e. an offer to buy, at a
price that is identical to or lower than the offer price.
[0027] Upon identification (matching) of a contra order(s), a
minimum of the quantities associated with the identified order and
the incoming order is matched and that quantity of each of the
identified and incoming orders become two halves of a matched trade
that is sent to a clearinghouse. The Exchange Computer System
considers each identified order in this manner until either all of
the identified orders have been considered or all of the quantity
associated with the incoming order has been matched, i.e. the order
has been filled. If any quantity of the incoming order remains, an
entry may be created in the order book database and information
regarding the incoming order is recorded therein, i.e. a resting
order is placed on the order book for the remaining quantity to
await a subsequent incoming order counter thereto.
[0028] Traders access the markets on a trading platform using
trading software that receives and displays at least a portion of
the order book for a market, i.e. at least a portion of the
currently resting orders, enables a trader to provide parameters
for an order for the product traded in the market, and transmits
the order to the Exchange Computer System. The trading software
typically includes a graphical user interface to display at least a
price and quantity of some of the entries in the order book
associated with the market. The number of entries of the order book
displayed is generally preconfigured by the trading software,
limited by the Exchange Computer System, or customized by the user.
Some graphical user interfaces display order books of multiple
markets of one or more trading platforms. The trader may be an
individual who trades on his/her behalf, a broker trading on behalf
of another person or entity, a group, or an entity. Furthermore,
the trader may be a system that automatically generates and submits
orders.
[0029] If the Exchange Computer System identifies that an incoming
market order may be filled by a combination of multiple resting
orders, e.g. the resting order at the best price does only
partially fills the incoming order, the Exchange Computer System
may allocate the remaining quantity of the incoming, i.e. that
which was not filled by the resting order at the best price, among
such identified orders in accordance with prioritization and
allocation rules/algorithms, referred to as "allocation algorithms"
or "matching algorithms," as, for example, may be defined in the
specification of the particular financial product or defined by the
Exchange for multiple financial products. Similarly, if the
Exchange Computer System identifies multiple orders contra to the
incoming limit order and that have an identical price which is
favorable to the price of the incoming order, i.e. the price is
equal to or better, e.g. lower if the incoming order is a buy or
higher if the incoming order is a sell, than the price of the
incoming order, the Exchange Computer System may allocate the
quantity of the incoming order among such identified orders in
accordance with the matching algorithms as, for example, may be
defined in the specification of the particular financial product or
defined by the Exchange for multiple financial products.
[0030] As was noted above, an Exchange must respond to inputs, such
as trader orders, cancellation, etc., in a manner as expected by
the market participants, such as based on market data, e.g. prices,
available counter-orders, etc., to provide an expected level of
certainty that transactions will occur in a consistent and
predictable manner and without unknown or unascertainable risks.
Accordingly, the method by which incoming orders are matched with
resting orders must be defined so that market participants have an
expectation of what the result will be when they place an order or
have resting orders and incoming order is received, even if the
expected result is, in fact, at least partially unpredictable due
to some component of the process being random or arbitrary or due
to market participants having imperfect or less than all
information, e.g. unknown position of an order in an order book.
Typically, the Exchange defines the matching/allocation algorithm
that will be used for a particular financial product, with or
without input from the market participants. Once defined for a
particular product, the matching/allocation algorithm is typically
not altered, except in limited circumstance, such as to correct
errors or improve operation, so as not to disrupt trader
expectations. It will be appreciated that different products
offered by a particular Exchange may use different matching
algorithms.
[0031] For example, a first-in/first-out (FIFO) matching algorithm,
also referred to as a "Price Time" algorithm, considers each
identified order sequentially in accordance with when the
identified order was received. The quantity of the incoming order
is matched to the quantity of the identified order at the best
price received earliest, then quantities of the next earliest best
price orders, and so on until the quantity of the incoming order is
exhausted. Some product specifications define the use of a pro-rata
matching algorithm, wherein a quantity of an incoming order is
allocated to each of plurality of identified orders proportionally.
Some Exchange Computer Systems provide a priority to certain
standing orders in particular markets. An example of such an order
is the first order that improves a price (i.e., improves the
market) for the product during a trading session. To be given
priority, the trading platform may require that the quantity
associated with the order is at least a minimum quantity. Further,
some Exchange Computer Systems cap the quantity of an incoming
order that is allocated to a standing order on the basis of a
priority for certain markets. In addition, some Exchange Computer
Systems may give a preference to orders submitted by a trader who
is designated as a market maker for the product. Other Exchange
Computer Systems may use other criteria to determine whether orders
submitted by a particular trader are given a preference. Typically,
when the Exchange Computer System allocates a quantity of an
incoming order to a plurality of identified orders at the same
price, the trading host allocates a quantity of the incoming order
to any orders that have been given priority. The Exchange Computer
System thereafter allocates any remaining quantity of the incoming
order to orders submitted by traders designated to have a
preference, and then allocates any still remaining quantity of the
incoming order using the FIFO or pro-rata algorithms. Pro-rata
algorithms used in some markets may require that an allocation
provided to a particular order in accordance with the pro-rata
algorithm must meet at least a minimum allocation quantity. Any
orders that do not meet or exceed the minimum allocation quantity
are allocated to on a FIFO basis after the pro-rata allocation (if
any quantity of the incoming order remains). More information
regarding order allocation may be found in U.S. Pat. No. 7,853,499,
the entirety of which is incorporated by reference herein.
[0032] Other examples of matching algorithms which may be defined
for allocation of orders of a particular financial product include:
[0033] Price Explicit Time [0034] Order Level Pro Rata [0035] Order
Level Priority Pro Rata [0036] Preference Price Explicit Time
[0037] Preference Order Level Pro Rata [0038] Preference Order
Level Priority Pro Rata [0039] Threshold Pro-Rata [0040] Priority
Threshold Pro-Rata [0041] Preference Threshold Pro-Rata [0042]
Priority Preference Threshold Pro-Rata [0043] Split Price-Time
Pro-Rata
[0044] For example, the Price Explicit Time trading policy is based
on the basic Price Time trading policy with Explicit Orders having
priority over Implied Orders at the same price level. The order of
traded volume allocation at a single price level may therefore be:
[0045] Explicit order with oldest timestamp first. Followed by
[0046] Any remaining explicit orders in timestamp sequence (First
In, First Out--FIFO) next. Followed by [0047] Implied order with
oldest timestamp next. Followed by [0048] Any remaining implied
orders in timestamp sequence (FIFO).
[0049] In Order Level Pro Rata, also referred to as Price Pro Rata,
priority is given to orders at the best price (highest for a bid,
lowest for an offer). If there are several orders at this best
price, equal priority is given to every order at this price and
incoming business is divided among these orders in proportion to
their order size. The Pro Rata sequence of events is: [0050] 1.
Extract all potential matching orders at best price from the order
book into a list. [0051] 2. Sort the list by order size, largest
order size first. If equal order sizes, oldest timestamp first.
This is the matching list. [0052] 3. Find the `Matching order size,
which is the total size of all the orders in the matching list.
[0053] 4. Find the `tradable volume`, which is the smallest of the
matching volume and the volume left to trade on the incoming order.
[0054] 5. Allocate volume to each order in the matching list in
turn, starting at the beginning of the list. If all the tradable
volume gets used up, orders near the end of the list may not get
allocation. [0055] 6. The amount of volume to allocate to each
order is given by the formula:
[0055] (Order volume/Matching volume)*Tradable volume The result is
rounded down (for example, 21.99999999 becomes 21) unless the
result is less than 1, when it becomes 1. [0056] 7. If tradable
volume remains when the last order in the list had been allocated
to, return to step 3. [0057] Note: The matching list is not
re-sorted, even though the volume has changed. The order which
originally had the largest volume is still at the beginning of the
list. [0058] 8. If there is still volume left to trade on the
incoming order, repeat the entire algorithm at the next price
level.
[0059] Order Level Priority Pro Rata, also referred to as Threshold
Pro Rata, is similar to the Price (or `Vanilla`) Pro Rata algorithm
but has a volume threshold defined. Any pro rata allocation below
the threshold will be rounded down to 0. The initial pass of volume
allocation is carried out in using pro rata; the second pass of
volume allocation is carried out using Price Explicit Time. The
Threshold Pro Rata sequence of events is: [0060] 1. Extract all
potential matching orders at best price from the order book into a
list. [0061] 2. Sort the list by explicit time priority, oldest
timestamp first. This is the matching list. [0062] 3. Find the
`Matching volume`, which is the total volume of all the orders in
the matching list. [0063] 4. Find the `tradable volume`, which is
the smallest of the matching volume and the volume left to trade on
the incoming order. [0064] 5. Allocate volume to each order in the
matching list in turn, starting at the beginning of the list.
[0065] 6. The amount of volume to allocate to each order is given
by the formula:
[0065] (Order volume/Matching volume)*Tradable volume The result is
rounded down to the nearest lot (for example, 21.99999999 becomes
21) unless the result is less than the defined threshold in which
case it is rounded down to 0. [0066] 7. If tradable volume remains
when the last order in the list had been allocated to, the
remaining volume is allocated in time priority to the matching
list. [0067] 8. If there is still volume left to trade on the
incoming order, repeat the entire algorithm at the next price
level.
[0068] In the Split Price Time Pro-Rata algorithms, a Price Time
Percentage parameter is defined. This percentage of the matching
volume at each price is allocated by the Price Explicit Time
algorithm and the remainder is allocated by the Threshold Pro-Rata
algorithm. There are four variants of this algorithm, with and
without Priority and/or Preference. The Price Time Percentage
parameter is an integer between 1 and 99. (A percentage of zero
would be equivalent to using the respective existing Threshold
Pro-Rata algorithm, and a percentage of 100 would be equivalent to
using the respective existing Price Time algorithm). The Price Time
Volume will be the residual incoming volume, after any priority
and/or Preference allocation has been made, multiplied by the Price
Time Percentage. Fractional parts will be rounded up, so the Price
Time Volume will always be at least 1 lot and may be the entire
incoming volume. The Price Time Volume is allocated to resting
orders in strict time priority. Any remaining incoming volume after
the Price Time Volume has been allocated will be allocated
according to the respective Threshold Pro-Rata algorithm. The
sequence of allocation, at each price level, is therefore: [0069]
1. Priority order. if applicable [0070] 2. Preference allocation,
if applicable [0071] 3. Price Time allocation of the configured
percentage of incoming volume [0072] 4. Threshold Pro-Rata
allocation of any remaining incoming volume [0073] 5. Final
allocation of any leftover lots in time sequence. [0074] Any
resting order may receive multiple allocations from the various
stages of the algorithm.
[0075] It will be appreciated that there may be other allocation
algorithms, including combinations of algorithms, now available or
later developed, which may be utilized with the disclosed
embodiments, and all such algorithms are contemplated herein.
[0076] One exemplary system for matching is described in U.S.
patent application Ser. No. 13/534,499, filed on Jun. 27, 2012,
entitled "MULTIPLE TRADE MATCHING ALGORITHMS," published as U.S.
Patent Application Publication No. 2014/0006243 A1, incorporated by
reference herein, discloses an adaptive match engine which draws
upon different matching algorithms, e.g. the rules which dictate
how a given order should be allocated among qualifying resting
orders, depending upon market conditions, to improve the operation
of the market. For example, for a financial product, such as a
futures contract, having a future expiration date, the match engine
may match incoming orders according to one algorithm when the
remaining time to expiration is above a threshold, recognizing that
during this portion of the life of the contract, the market for
this product is likely to have high volatility. However, as the
remaining time to expiration decreases, volatility may decrease.
Accordingly, when the remaining time to expiration falls below the
threshold, the match engine switches to a different match algorithm
which may be designed to encourage trading relative to the
declining trading volatility. Thereby, by conditionally switching
among matching algorithms within the same financial product, as
will be described, the disclosed match engine automatically adapts
to the changing market conditions of a financial product, e.g. a
limited life product, in a non-preferential manner, maintaining
fair order allocation while improving market liquidity, e.g., over
the life of the product.
[0077] In one implementation, this trading system may evaluate
market conditions on a daily basis and, based thereon, change the
matching algorithm between daily trading sessions, i.e. when the
market is closed, such that when the market reopens, a new trading
algorithm is in effect for the particular product. As will be
described, the disclosed embodiments may facilitate more frequent
changes to the matching algorithms so as to dynamically adapt to
changing market conditions, e.g. intra-day changes, and even
intra-order matching changes. It will be further appreciated that
hybrid matching algorithms, which match part of an order using one
algorithm and another part of the order using a different
algorithm, may also be used.
[0078] With respect to incoming orders, some traders, such as
automated and/or algorithmic traders, attempt to respond to market
events, such as to capitalize upon a mispriced resting order or
other market inefficiency, as quickly as possible. This may result
in penalizing the trader who makes an errant trade, or whose
underlying trading motivations have changed, and who cannot
otherwise modify or cancel their order faster than other traders
can submit trades there against. It may considered that an
electronic trading system that rewards the trader who submits their
order first creates an incentive to either invest substantial
capital in faster trading systems, participate in the market
substantially to capitalize on opportunities (aggressor side/lower
risk trading) as opposed to creating new opportunities (market
making/higher risk trading), modify existing systems to streamline
business logic at the cost of trade quality, or reduce one's
activities and exposure in the market. The result may be a lesser
quality market and/or reduced transaction volume, and corresponding
thereto, reduced fees to the Exchange.
[0079] The disclosed embodiments directed to incoming order
regulation attempt to equalize the rate at which incoming orders
are processed upon receipt to, for example, reduce, but not
eliminate, the impact of speed. Incoming orders, once equalized,
are then allocated for matching in a manner which may incentivize
desired behavior. The disclosed embodiments may incentivize market
making behavior over aggressor behavior to improve and maintain
market liquidity or health by, for example, reducing penalties for
risk taking behavior, and incentivizing submission of orders which
reflect the true intent of the market participant, or at least a
close approximation thereof, even if that intent is to leverage
anomalies or inefficiencies in the operations of market or the
electronic trading system. Furthermore, by reducing the incentive
to invest in faster trading systems, the cost of which may
exponentially increase with respect to linear improvements, market
participants can devote more capital to investment and market
participation. In addition, by not eliminating the benefit of speed
altogether, speedy order submission may be rewarded where it
improves market liquidity/health.
[0080] With respect to resting orders, allocation/matching suitable
resting orders to match against an incoming order can be performed,
as described above, in many different ways. Generally, it will be
appreciated that allocation/matching algorithms are only needed
when the incoming order quantity is less than the total quantity of
the suitable resting orders as, only in this situation, is it
necessary to decide which resting order(s) will not be fully
satisfied, which trader(s) will not get their orders filled. It can
be seen from the above descriptions of the matching/allocation
algorithms, that they fall generally into three categories: time
priority/first-in-first-out ("FIFO"), pro rata, or a hybrid of FIFO
and pro rata.
[0081] As described above, matching systems apply a single
algorithm, or combined algorithm, to all of the orders received for
a particular financial product to dictate how the entire quantity
of the incoming order is to be matched/allocated. In contrast, the
disclosed embodiments may apply different matching algorithms,
singular or combined, to different orders, as will be described,
recognizing that the allocation algorithms used by the trading host
for a particular market may, for example, affect the liquidity of
the market. Specifically, some allocation algorithms may encourage
traders to submit more orders, where each order is relatively
small, while other allocation algorithms encourage traders to
submit larger orders. Other allocation algorithms may encourage a
trader to use an electronic trading system that can monitor market
activity and submit orders on behalf of the trader very quickly and
without intervention. As markets and technologies available to
traders evolve, the allocation algorithms used by trading hosts
must also evolve accordingly to enhance liquidity and price
discovery in markets, while maintaining a fair and equitable
market.
[0082] FIFO generally rewards the first trader to place an order at
a particular price and maintains this reward indefinitely. So if a
trader is the first to place an order at price X, no matter how
long that order rests and no matter how many orders may follow at
the same price, as soon as a suitable incoming order is received,
that first trader will be matched first. This "first mover" system
may commit other traders to positions in the queue after the first
move traders. Furthermore, while it may be beneficial to give
priority to a trader who is first to place an order at a given
price because that trader is, in effect, taking a risk, the longer
that the trader's order rests, the less beneficial it may be. For
instance, it could deter other traders from adding liquidity to the
marketplace at that price because they know the first mover (and
potentially others) already occupies the front of the queue.
[0083] With a pro rata allocation, incoming orders are effectively
split among suitable resting orders. This provides a sense of
fairness in that everyone may get some of their order filled.
However, a trader who took a risk by being first to place an order
(a "market turning" order) at a price may end up having to share an
incoming order with a much later submitted order. Furthermore, as a
pro rata allocation distributes the incoming order according to a
proportion based on the resting order quantities, traders may place
orders for large quantities, which they are willing to trade but
may not necessarily want to trade, in order to increase the
proportion of an incoming order that they will receive. This
results in an escalation of quantities on the order book and
exposes a trader to a risk that someone may trade against one of
these orders and subject the trader to a larger trade than they
intended. In the typical case, once an incoming order is allocated
against these large resting orders, the traders subsequently cancel
the remaining resting quantity which may frustrate other traders.
Accordingly, as FIFO and pro rata both have benefits and problems,
Exchanges may try to use hybrid allocation/matching algorithms
which attempt to balance these benefits and problems by combining
FIFO and pro rata in some manner. However, hybrid systems define
conditions or fixed rules to determine when FIFO should be used and
when pro rata should be used. For example, a fixed percentage of an
incoming order may be allocated using a FIFO mechanism with the
remainder being allocated pro rata. The hybrid system discussed
above switches between FIFO and pro rata based on a condition of
the market.
[0084] The disclosed embodiments relate to a hybrid
matching/allocation algorithm which recognizes that, for example,
the befit of time priority to the market decays or otherwise
degrades over time, rather than simply based on the occurrence of
an event, and, thus, implement a gradual time based shift from a
FIFO allocation method toward a hybrid FIFO/pro rata allocation
methodology and, in one alternative embodiment, ultimately to a
fully pro rata allocation method on an order by order basis. In
this exemplary embodiment, upon receipt of a resting order, it may
be accorded FIFO priority with respect to a subsequently received
suitably matching incoming order. However, until a matching
incoming order is received, as that order, along with other
suitably matching resting order received subsequent thereto, age,
they may be grouped or otherwise clustered together, such as based
on their temporal proximity to each other. Each group may maintain
a FIFO priority over other groups but within each group, an
incoming order will be allocated pro rata. This gradual decay
rewards first in time in a fast moving market but reduces/removes
that benefit in a slower moving market.
[0085] The disclosed embodiments are preferably implemented with
computer devices and computer networks, such as those described
with respect FIG. 4, that allow users, e.g. market participants or
traders, to exchange trading information. It will be appreciated
that the plurality of entities utilizing the disclosed embodiments,
e.g. the market participants, may be referred to by other
nomenclature reflecting the role that the particular entity is
performing with respect to the disclosed embodiments and that a
given entity may perform more than one role depending upon the
implementation and the nature of the particular transaction being
undertaken, as well as the entity's contractual and/or legal
relationship with another market participant and/or the exchange.
An exemplary trading network environment for implementing trading
systems and methods is shown in FIG. 1. An electronic trading
system 100, referred also to as the "exchange" or "exchange
computer system," receives orders and transmits market data related
to orders and trades to users, such as via wide area network 126
and/or local area network 124 and computer devices 114, 116, 118,
120 and 122, as will be described below, coupled with the exchange
computer system 100.
[0086] Herein, the phrase "coupled with" is defined to mean
directly connected to or indirectly connected through one or more
intermediate components. Such intermediate components may include
both hardware and software based components. Further, to clarify
the use in the pending claims and to hereby provide notice to the
public, the phrases "at least one of <A>, <B>, . . .
and <N>" or "at least one of <A>, <B>, . . .
<N>, or combinations thereof" are defined by the Applicant in
the broadest sense, superseding any other implied definitions
herebefore or hereinafter unless expressly asserted by the
Applicant to the contrary, to mean one or more elements selected
from the group comprising A, B, . . . and N, that is to say, any
combination of one or more of the elements A, B, . . . or N
including any one element alone or in combination with one or more
of the other elements which may also include, in combination,
additional elements not listed.
[0087] The electronic trading system 100 may be implemented with
one or more mainframe, desktop or other computers, such as the
computer 400 described below with respect to FIG. 4. A user
database 102 may be provided which includes information identifying
traders and other users of exchange computer system 100, such as
account numbers or identifiers, user names and passwords. An
account data module 104 may be provided which may process account
information that may be used during trades. A match engine module
106 may be included to match bid and offer prices and may be
implemented with software that executes one or more algorithms for
matching bids and offers as will be described in more detail below
with respect to FIG. 2. A trade database 108 may be included to
store information identifying trades and descriptions of trades. In
particular, a trade database may store information identifying the
time that a trade took place and the contract price. An order book
module 110 may be included to compute or otherwise determine
current bid and offer prices. A market data module 112 may be
included to collect market data and prepare the data for
transmission to users. A risk management module 134 may be included
to compute and determine a user's risk utilization in relation to
the user's defined risk thresholds. An order processing module 136
may be included to decompose delta based and bulk order types for
processing by the order book module 110 and/or match engine module
106. A volume control module 140 may be included to, among other
things, control the rate of acceptance of mass quote messages in
accordance with one or more aspects of the disclosed embodiments.
It will be appreciated that concurrent processing limits may be
defined by or imposed separately or in combination, as was
described above, on one or more of the trading system components,
including the user database 102, the account data module 104, the
match engine module 106, the trade database 108, the order book
module 110, the market data module 112, the risk management module
134, the order processing module 136, or other component of the
exchange computer system 100.
[0088] The trading network environment shown in FIG. 1 includes
exemplary computer devices 114, 116, 118, 120 and 122 which depict
different exemplary methods or media by which a computer device may
be coupled with the exchange computer system 100 or by which a user
may communicate, e.g. send and receive, trade or other information
therewith. It will be appreciated that the types of computer
devices deployed by traders and the methods and media by which they
communicate with the electronic trading system 100 is
implementation dependent and may vary and that not all of the
depicted computer devices and/or means/media of communication may
be used and that other computer devices and/or means/media of
communications, now available or later developed may be used. Each
computer device, which may comprise a computer 400 described in
more detail below with respect to FIG. 4, may include a central
processor that controls the overall operation of the computer and a
system bus that connects the central processor to one or more
conventional components, such as a network card or modem. Each
computer device may also include a variety of interface units and
drives for reading and writing data or files and communicating with
other computer devices and with the exchange computer system 100.
Depending on the type of computer device, a user can interact with
the computer with a keyboard, pointing device, microphone, pen
device or other input device now available or later developed.
[0089] An exemplary computer device 114 is shown directly connected
to electronic trading system 100, such as via a T1 line, a common
local area network (LAN) or other wired and/or wireless medium for
connecting computer devices, such as the network 420 shown in FIG.
4 and described below with respect thereto. The exemplary computer
device 114 is further shown connected to a radio 132. The user of
radio 132, which may include a cellular telephone, smart phone, or
other wireless proprietary and/or non-proprietary device, may be a
trader or exchange employee. The radio user may transmit orders or
other information to the exemplary computer device 114 or a user
thereof. The user of the exemplary computer device 114, or the
exemplary computer device 114 alone and/or autonomously, may then
transmit the trade or other information to the exchange computer
system 100.
[0090] Exemplary computer devices 116 and 118 are coupled with a
local area network ("LAN") 124 which may be configured in one or
more of the well-known LAN topologies, e.g. star, daisy chain,
etc., and may use a variety of different protocols, such as
Ethernet, TCP/IP, etc. The exemplary computer devices 116 and 118
may communicate with each other and with other computer and other
devices which are coupled with the LAN 124. Computer and other
devices may be coupled with the LAN 124 via twisted pair wires,
coaxial cable, fiber optics or other wired or wireless media. As
shown in FIG. 1, an exemplary wireless personal digital assistant
device ("PDA") 122, such as a mobile telephone, tablet based
computer device, or other wireless device, may communicate with the
LAN 124 and/or the Internet 126 via radio waves, such as via WiFi,
Bluetooth and/or a cellular telephone based data communications
protocol. PDA 122 may also communicate with exchange computer
system 100 via a conventional wireless hub 128.
[0091] FIG. 1 also shows the LAN 124 coupled with a wide area
network ("WAN") 126 which may be comprised of one or more public or
private wired or wireless networks. In one embodiment, the WAN 126
includes the Internet 126. The LAN 124 may include a router to
connect LAN 124 to the Internet 126. Exemplary computer device 120
is shown coupled directly to the Internet 126, such as via a modem,
DSL line, satellite dish or any other device for connecting a
computer device to the Internet 126 via a service provider
therefore as is known. LAN 124 and/or WAN 126 may be the same as
the network 420 shown in FIG. 4 and described below with respect
thereto.
[0092] As was described above, the users of the exchange computer
system 100 may include one or more market makers 130 which may
maintain a market by providing constant bid and offer prices for a
derivative or security to the electronic trading system 100, such
as via one of the exemplary computer devices depicted. The
electronic trading system 100 may also exchange information with
other trade engines, such as trade engine 138. One skilled in the
art will appreciate that numerous additional computers and systems
may be coupled to exchange computer system 100. Such computers and
systems may include clearing, regulatory and fee systems.
[0093] The operations of computer devices and systems shown in FIG.
1 may be controlled by computer-executable instructions stored on a
non-transitory computer-readable medium. For example, the exemplary
computer device 116 may include computer-executable instructions
for receiving order information from a user and transmitting that
order information to electronic trading system 100. In another
example, the exemplary computer device 118 may include
computer-executable instructions for receiving market data from
electronic trading system 100 and displaying that information to a
user.
[0094] Of course, numerous additional servers, computers, handheld
devices, personal digital assistants, telephones and other devices
may also be connected to the electronic trading system 100.
Moreover, one skilled in the art will appreciate that the topology
shown in FIG. 1 is merely an example and that the components shown
in FIG. 1 may include other components not shown and be connected
by numerous alternative topologies.
[0095] FIG. 2 depicts a block diagram of an order processor module
136 according to one embodiment, which in an exemplary
implementation, is implemented as part of the exchange computer
system 100 described above. As used herein, an electronic trading
system 100, i.e. exchange, includes a place or system that receives
and/or executes orders. It will be appreciated that the disclosed
embodiments may be implemented by or in conjunction with other
modules or components of the electronic trading. While the
disclosed embodiments will be described with respect to a separate
implementation for each match engine, market or order book, it will
be appreciated that the disclosed embodiments may also be
implemented across the entire electronic trading system 100 such as
for example, by further denoting incoming orders by their intended
market and separately processing orders received for a given market
as described herein.
[0096] In particular, FIG. 2 depicts a block diagram of a system
200, which may also be referred to as an architecture, for
regulating incoming order allocation in an electronic trading
system 100, such as incoming orders to trade a financial product,
received via a network, such as the network 126 of FIG. 1, from a
plurality of market participants. Wherein, as described, the
electronic trading system 100 comprising a match engine 106 which
implements a market for an associated financial instrument by being
operative to attempt to match an incoming order for a transaction
for the associated financial instrument with at least one other
previously received but unsatisfied order for a transaction counter
thereto for the associated financial instrument, to at least
partially satisfy one or both of the incoming order or the at least
one other previously received order.
[0097] The system 200 includes an interval processor 206, which may
be implemented as a separate component or as one or more logic
components, such as on an FPGA which may include a memory or
reconfigurable component to store logic and processing component to
execute the stored logic, or as first logic 206, e.g. computer
program logic, stored in a memory 204, or other non-transitory
computer readable medium, and executable by a processor 202, such
as the processor 402 and memory 404 described below with respect to
FIG. 4, to cause the processor 202 to, or otherwise be operative
to, determine an occurrence of an event.
[0098] The system 200 further includes an incoming order receiver
208, which may be implemented as a separate component or as one or
more logic components, such as on an FPGA which may include a
memory or reconfigurable component to store logic and processing
component to execute the stored logic, or as second logic 208, e.g.
computer program logic, stored in a memory 204, or other
non-transitory computer readable medium, and executable by a
processor 202, such as the processor 402 and memory 404 described
below with respect to FIG. 4, to cause the processor 202 to, or
otherwise be operative to, receive an incoming order and store, or
otherwise collect, aggregate, buffer or batch, the received
incoming order in a memory 212/204 coupled with the order receiver
208, such as an incoming order buffer 212, which may be a part of
the memory 204 or separate therefrom.
[0099] The system 200 further includes an order forwarder 210,
coupled with the memory 212/204, the order receiver 208 and the
interval processor 206, and which may be implemented as a separate
component or as one or more logic components, such as on an FPGA
which may include a memory or reconfigurable component to store
logic and processing component to execute the stored logic, or as
third logic 210, e.g. computer program logic, stored in a memory
204, or other non-transitory computer readable medium, and
executable by a processor 202, such as the processor 402 and memory
404 described below with respect to FIG. 4, to cause the processor
202 to, or otherwise be operative to, upon the occurrence of the
event, forward at least a subset of the stored received incoming
orders to the match engine 106.
[0100] In effect, the disclosed embodiments may align or otherwise
normalize incoming orders, or the rate of receipt thereof, to the
occurrence of an event, which as described below, may be a time
interval. This may result in the equalization of the value, e.g. as
being earlier, of each order or otherwise alter their relative
value. By configuring the event as the expiration of a fixed or
variable time interval, to a system event such an indication of
available or over capacity or other feedback signal, or to the
receipt of an incoming order, or combinations thereof, incoming
orders, or the rate of receipt thereof, may be aligned to a common
rate/clock, the electronic trading system's 100 capacity to process
orders, and/or relative to other orders, such as to equalize orders
submitted by automated and/or algorithmic traders with order
submitted by traders who are less fast. Once grouped, buffered or
otherwise batched, the event, which may be the next clock edge, a
signal from the match engine 106, or some other indicator, causes
all of the stored orders to be sent to the match engine 106 for
matching. As will be described, the match engine 106 may then
decide how to process the orders out of each batch.
[0101] As an example, the following orders may be received (with
their time of receipt in parentheses): A(1 ms), B(2 ms), C(10 ms)
D(14 ms), E(16 ms), F(22 ms). Where the event is the expiration of
a clock having a 5 ms period, the orders would be batched as
follows: AB, CDE, F.
[0102] In one embodiment, the incoming order receiver 208 is
further operative to receive the incoming order when the incoming
order's arrival relative to another incoming order has been
determined, e.g. at the match engine 106 or otherwise at the point
of incoming order ingress or other point of determinism as was
described above. Incoming order receiver may preserve or otherwise
store data indicative of the order of arrival with each incoming
order. In one embodiment, the interval processor 206, incoming
order receiver 208 and order forwarder 210 are comprised by the
match engine 106.
[0103] In one embodiment, each order is characterized by any of a
set of order types, the order forwarder being further operative to
forward or otherwise bypass the incoming order to the match engine
upon receipt thereof when the order type thereof is one of a subset
of the set of order types. For example, in one embodiment, the
subset of order types includes at least one of administrative
message, control message, cancel message, order modification
message, or combinations thereof. Order modification messages may
include messages which alter an order that was earlier received but
not yet matched or a resting order, e.g. modifies the resting
quantity. This may permit the match engine act on cancel or modify
messages, for example, in advance of other messages, such as orders
which would have matched against the order to be canceled. It will
be appreciated that whether cancel or modify messages are processed
first or last, or otherwise in order of receipt, is implementation
dependent and may depend on business and/or regulatory rules
defining how and when a trader may cancel an order. As an
alternative to bypassing orders around the batching mechanism,
these order types may be flagged to be allocated first or last out
of the batch when the batch of orders is forwarded to the match
engine. In an implementation designed, at least in part, to
regulate incoming order flow relative to the capacity of the
system, e.g. where the event which triggers forwarding is based on
a signal indicative of processing capacity, this would allow the
match engine 106 process such messages according to its processing
capacity.
[0104] In one embodiment, the event comprises an elapse of an
interval or window of time and may be defined by when the window
opens and the duration thereof. In one embodiment, the event may be
caused by a continually rolling clock, e.g. a gating clock, where
each clock edge is an event which defines/separates a batch of
orders.
[0105] In one embodiment, the time interval begins to elapse upon
receipt of an incoming order, e.g. a batchable order (one that, for
example, would not be bypassed as described herein), subsequent to
a prior elapse of the time interval. As described above, this may
permit regulation of incoming orders relative to each other by
triggering the buffering upon receipt of a first order, after a
prior batch has been forwarded, and buffering for a duration of
time or until a subsequent event occurs as described herein.
[0106] In one embodiment, the duration of the time interval is
fixed. Alternatively, in one embodiment, the duration of the time
interval is variable and may vary at least partially, i.e. pseudo,
or fully/truly randomly and/or based on a condition of the market
for the associated financial instrument, such as market volatility,
order volume, order velocity, or combinations thereof, or other
feedback loop/signal indicative of market conditions and/or system
capacity. In one embodiment, the duration of the time interval may
be altered periodically. It will be appreciated that a variable
time interval may be harder to predict by market participants
looking to advantageously time the submission of their orders with
respect thereto. However it may be expected that market
participants will always want to be the earliest order among any
given batch of incoming orders, in particular for example, if, as
in one exemplary embodiment, the resulting allocation out of the
batch preferences orders at the start of the batch.
[0107] In one embodiment, the event may be the receipt of an
acknowledgment from the match engine acknowledging receipt of
previously forwarded incoming orders. As described above, this may
be used to regulate order flow based on processing resource
capacity.
[0108] In one embodiment, the event may be the number of stored
received incoming orders exceeds a threshold. For example, the
number of orders allowed to be batched in any one batch may be
limited. Such an order limit may be utilized in conjunction with
the other implementations described herein, such as a time
interval, to cap the number of orders that may be stored prior to
forwarding. In a fast moving market, where the rate of order
submission is high, this may prevent the buffer memory from being
overflowed or otherwise batching together more orders than the
match engine 106 can effectively handle. In an alternative
embodiment, threshold number of orders may be a minimum wherein
incoming orders are batched until a minimum number of orders have
been received before forwarding. This embodiment may be further
combined with a time duration so as to not overly delay processing
of orders, such as in a slow moving market where order submissions
are less frequent.
[0109] In one embodiment, the received incoming orders are stored
in the memory in association with data indicative of time and/or
order of receipt by the order receiver. For example, this data may
be utilized by the match engine 106 to allocate orders out of the
batch when performing the matching process.
[0110] In one embodiment, an incoming order stored in the buffer
memory 212 may be held back and not forwarded with the batch of
orders it is stored with. For example, a trader may be permitted to
subsequently send a hold message or some other indication that they
may wish to delay their prior order. Incoming orders may be held
when the electronic trading system 100, via a system, not shown,
which evaluates orders for compliance with business and/or
regulatory rules, determines that an incoming order is suspicious
or otherwise anomalous and should be delayed pending further
review. In another example, incoming orders determined to
exacerbate a highly volatile market may be delayed in order to
prevent or mitigate a market crash or other undesirable market
event.
[0111] In one embodiment, the order forwarder 210 may be further
operative to allow a subsequently received incoming
transaction/order to modify or cancel a stored received incoming
order prior to a forwarding thereof to the match engine. By, for
example, allowing orders to be canceled or modified prior to
forwarding, the processing demands on the match engine 106 may be
reduced.
[0112] Once a batch of incoming orders has been forwarded to the
match engine 106, the match engine 106 must determine the
order/sequence in which those orders within a batch will be
processed against the resting orders of the order book. In one
embodiment, the match engine 106 is further operative to determine
a sequence in which the match engine 106 will attempt to match each
of the forwarded subset of the received incoming orders. In one
implementation, the match engine 106 may include an arriving order
allocator 214, which may be implemented as a separate component or
as one or more logic components, such as on an FPGA which may
include a memory or reconfigurable component to store logic and
processing component to execute the stored logic, or as logic, e.g.
computer program logic, stored in a memory (not shown), or other
non-transitory computer readable medium, and executable by a
processor (not shown), such as the processor 402 and memory 404
described below with respect to FIG. 4, to cause the processor 202
to, or otherwise be operative to, determine a sequence in which the
match engine 106 will attempt to match each of the forwarded subset
of the received incoming orders. While the arriving order allocator
214 is described herein as part of the match engine 106, it will be
appreciated that it may be separate therefrom and may be part of
the system 200 or implemented between the system 200 and the match
engine 106.
[0113] Generally, the sequence may be determined based on order of
arrival, as a function of order of arrival or without regard to
order of arrival. Further, the allocation methodology may be
different for different markets and may vary within a market or
otherwise be fixed. It will be appreciated that the selection of
the allocation methodology will be based on the degree to which it
is desirable to flatten out or remove the benefit of speed of order
submission, e.g. the benefit of being first. As will be seen,
orders may be allocated all at once, subject to preferenced orders
being processed first, or orders may be processed by order type or
classification of orders and then within each classification, those
orders may be processed by time, randomly or via some other
allocation methodology as will be described.
[0114] In on embodiment, the allocation methodology may determine
the sequence to be at least partially, e.g. pseudo, or fully/truly
random, e.g. orders are randomly selected out of the batch to be
processed, subject to constraints such as order of arrival among
orders of the same market participant as described below. In one
embodiment, the determination of the sequence may weight the chance
of random selection each of the subset of the received incoming
orders by an associated time of arrival, which may be referred to
as Lottery-Time. Alternatively, the determination of the sequence
may weight the chance of selection of each of the subset of the
received incoming orders by an ordinal position, i.e. an order of
receipt by the incoming order receiver relative to the others of
the subset of the received incoming orders, which may be referred
to as Lottery-Position.
[0115] In on embodiment, the allocation methodology may determine
the sequence to be first-in-first-out ("FIFO"), e.g. in order of an
associated time of arrival of each of the subset of the received
incoming orders at the incoming order receiver. As was described
above, this may be used in an implementation which regulates
incoming order flow relative to the processing capacity of the
electronic trading system 100.
[0116] In one embodiment, the allocation methodology may determine
the sequence to be that all orders of the forwarded subset of the
received incoming orders are processed concurrently such as a
proportional allocation, e.g. pro-rata, or via a
auction/micro-auction (matched by price-time-priority). With
respect to a proportional allocation, such as a pro-rata
allocation, when the two or more incoming orders of a batch may be
for a total quantity greater than a total quantity of suitable
counter orders currently resting on the order book, each of the
incoming orders may be allocated pro rata share of the resting
quantity with any residual unsatisfied quantity of those incoming
orders then being rested on the order book. In one embodiment, time
of arrival for orders determined to share a proportional allocation
may be used to skew that allocation, such as to provide a bigger
allocation to earlier arriving orders. It will be appreciated that,
with respect to allocation of a lesser available resting quantity
to a greater desired quantity of the incoming orders, any of the
allocation methodologies described herein, including the decay
methodology described below, for allocating a lesser quantity of
the incoming orders to a greater available quantity of the resting
orders may be applied. Accordingly, when orders are taken out of a
batch and exposed to the order book, they need not be filled in
full, as long as the order book isn't crossed, i.e. when a bid
order exists on the order book at a price less than an ask order on
the order book at a lower price, after all orders are exposed to
the book.
[0117] In one embodiment, incoming orders may allocated out of a
batch of orders based on price level such that orders with a better
price are sent to the match engine first.
[0118] In one embodiment, wherein an incoming order may further
comprise a request to modify or cancel a previously forwarded
received incoming order for a transaction of the associated
financial instrument, the match engine 106 or arriving order
allocator 214 may be further operative to process the request to
modify or cancel ahead of or after processing the others of the
forward subset of received incoming orders. Processing cancels
first, as was described above, may allow a trader to cancel an
order before another trader can capitalize on it. Processing
cancels last may promote increased trading volume.
[0119] In one embodiment, incoming orders within a batch of orders
may be analyzed to determine if multiple orders from the same
market participant are in the same batch. In this case, the
disclosed embodiments may process those orders from the same market
participant in the order or receipt to forward to the match engine.
For example, when using a random or pseudo random allocation out of
each batch, the disclosed embodiments may implement the random
selection based on the identity of the market participant and then,
where multiple incoming orders from that market participant exist
in the batch of incoming orders, those orders will be allocated in
order of receipt. Alternatively, when multiple incoming orders are
detected from the same market participant, random selection of one
of those orders for allocation may be subject to an order of
arrival priority.
[0120] In one embodiment, the match engine 106 or arriving order
allocator 214 may be further operative to detect when two or more
of the forwarded subset of received incoming orders are counter to
each other and have been submitted by a single trading entity and
prevent those two or more orders from matching to each other. Such
"self trading" detection may be implemented in accordance with
business and/or regulatory rules implemented by the electronic
trading system 100. It will be appreciated that, in one alternative
embodiment, the match engine 106 may attempt to identify suitable
counter orders from other traders so as to complete the
transactions if possible for all of the participants.
[0121] FIG. 5 depicts a flow chart showing operation of the system
200 of FIG. 2. In particular FIG. 3 shows a computer implemented
method of regulating incoming order allocation in an electronic
trading system 100, the electronic trading system 100 comprising a
match engine 106 which implements a market for an associated
financial instrument by being operative to attempt to match an
incoming order for a transaction for the associated financial
instrument with at least one other previously received but
unsatisfied order for a transaction counter thereto for the
associated financial instrument, to at least partially satisfy one
or both of the incoming order or the at least one other previously
received order.
[0122] The operation of the system 200 includes: determining, by an
incoming order processor 202, an occurrence of an event [Block
502]; receiving, by the incoming order processor 202, an incoming
order and storing the received incoming order in a memory 204/212
coupled with the incoming order processor [Block 504]; and
forwarding by the incoming order processor 202, upon the occurrence
of the event, at least a subset of the stored received incoming
orders to the match engine 106 [Block 506].
[0123] In effect, the disclosed embodiments may align or otherwise
normalize incoming orders, or the rate of receipt thereof, to the
occurrence of an event, which as described below, may be a time
interval. This may result in the equalization of the value, e.g. as
being earlier, of each order or otherwise alter their relative
value. By configuring the event as the expiration of a fixed or
variable time interval, to a system event such an indication of
available or over capacity or other feedback signal, or to the
receipt of an incoming order, or combinations thereof, incoming
orders, or the rate of receipt thereof, may be aligned to a common
rate/clock, the electronic trading system's 100 capacity to process
orders, and/or relative to other orders, such as to equalize orders
submitted by automated and/or algorithmic speed traders with order
submitted by traders who are less fast. Once grouped, buffered or
otherwise batched, the event, which may be the next clock edge, a
signal from the match engine 106, or some other indicator, causes
all of the stored orders to be sent to the match engine 106 for
matching. As will be described, the match engine 106 may then
decide how to process the orders out of each batch.
[0124] As an example, the following orders may be received (with
their time of receipt in parentheses): A(1 ms), B(2 ms), C(10 ms)
D(14 ms), E(16 ms), F(22 ms). Where the event is the expiration of
a clock having a 5 ms period, the orders would be batched as
follows: AB, CDE, F.
[0125] In one embodiment, the receiving, by the incoming order
processor 202, further includes receiving the incoming order when
the incoming order's arrival relative to another incoming order has
been determined, e.g. at the match engine 106 or otherwise at the
point of incoming order ingress or other point of determinism as
was described above. In one embodiment, the determining, receiving
and forwarding are performed by the match engine 106.
[0126] In one embodiment, the duration of the time interval is
fixed. Alternatively, in one embodiment, the duration of the time
interval is variable and may vary at least partially, i.e. pseudo,
or fully/truly randomly and/or based on a condition of the market
for the associated financial instrument, such as market volatility,
order volume, order velocity, or combinations thereof, or other
feedback loop/signal indicative of market conditions and/or system
capacity. In one embodiment, the duration of the time interval may
be altered periodically. It will be appreciated that a variable
time interval may be harder to predict by market participants
looking to advantageously time the submission of their orders with
respect thereto. However it may be expected that market
participants will always want to be the earliest order among any
given batch of incoming orders.
[0127] In one embodiment, the event may be the receipt of an
acknowledgment from the match engine acknowledging receipt of
previously forwarded incoming orders. As described above, this may
be used to regulate order flow based on processing resource
capacity.
[0128] In one embodiment, the event may be the number of stored
received incoming orders exceeds a threshold. For example, the
number of orders allowed to be batched in any one batch may be
limited. Such an order limit may be utilized in conjunction with
the other implementations described herein, such as a time
interval, to cap the number of orders that may be stored prior to
forwarding. In a fast moving market, where the rate of order
submission is high, this may prevent the buffer memory from being
overflowed or otherwise batching together more orders than the
match engine 106 can effectively handle. In an alternative
embodiment, threshold number of orders may be a minimum wherein
incoming orders are batched until a minimum number of orders have
been received before forwarding. This embodiment may be further
combined with a time duration so as to not overly delay processing
of orders, such as in a slow moving market where order submissions
are less frequent.
[0129] In one embodiment, the received incoming orders are stored
in the memory in association with data indicative of time and/or
order of receipt by the order receiver. For example, this data may
be utilized by the match engine 106 to allocate orders out of the
batch when performing the matching process.
[0130] In one embodiment, an incoming order stored in the buffer
memory 212 may be held back and not forwarded with the batch of
orders it is stored with. For example, a trader may be permitted to
subsequently send a hold message or some other indication that they
may wish to delay their prior order. Incoming orders may be held
when the electronic trading system 100, via a system, not shown,
which evaluates orders for compliance with business and/or
regulatory rules, determines that an incoming order is suspicious
or otherwise anomalous and should be delayed pending further
review. In another example, incoming orders determined to
exacerbate a highly volatile market may be delayed in order to
prevent or mitigate a market crash or other undesirable market
event.
[0131] In one embodiment, the operation of the system 200 further
includes allowing a subsequently received incoming order to modify
or cancel a stored received incoming order prior to a forwarding
thereof to the match engine [Block 508]. By, for example, allowing
orders to be canceled or modified prior to forwarding, the
processing demands on the match engine 106 may be reduced.
[0132] In one embodiment, the operation of the system 200 further
includes determining a sequence in which the match engine 106 will
attempt to match each of the forwarded subset of the received
incoming orders [Block 510].
[0133] Generally, the sequence may be determined based on order of
arrival, as a function of order of arrival or without regard to
order of arrival. Further, the allocation methodology may be
different for different markets and may vary within a market or
otherwise be fixed. It will be appreciated that the selection of
the allocation methodology will be based on the degree to which it
is desirable to flatten out or remove the benefit of speed of order
submission, e.g. the benefit of being first. As will be seen,
orders may be allocated all at once, subject to preferenced orders
being processed first, or orders may be processed by order type or
classification of orders and then within each classification, those
orders may be processed by time, randomly or via some other
allocation methodology as will be described.
[0134] In on embodiment, the allocation methodology may determine
the sequence to be at least partially, e.g. pseudo, or fully/truly
random, e.g. orders are randomly selected out of the batch to be
processed subject to, for example, constraints such as order of
arrival for orders received from the same market participant. In
one embodiment, the determination of the sequence may weight the
chance of random selection each of the subset of the received
incoming orders by an associated time of arrival, which may be
referred to as Lottery-Time. Alternatively, the determination of
the sequence may weight the chance of selection of each of the
subset of the received incoming orders by an ordinal position, i.e.
an order of receipt by the incoming order receiver relative to the
others of the subset of the received incoming orders, which may be
referred to as Lottery-Position.
[0135] In on embodiment, the allocation methodology may determine
the sequence to be first-in-first-out ("FIFO"), e.g. in order of an
associated time of arrival of each of the subset of the received
incoming orders at the incoming order receiver. As was described
above, this may be used in an implementation which regulates
incoming order flow relative to the processing capacity of the
electronic trading system 100.
[0136] In on embodiment, the allocation methodology may determine
the sequence to be that all orders of the forwarded subset of the
received incoming orders are processed concurrently such as a
proportion allocation, e.g. pro-rata, or via a micro-auction
(matched by price-time-priority), factoring in or otherwise
ignoring time of arrival. As described above, any allocation
methodology described herein with respect to allocating a lesser
total incoming order quantity to a greater total resting quantity,
including the decay methodology described below, may be used herein
for the purpose of allocating a greater total incoming order
quantity to a lesser total resting order quantity. Alternatively,
or in addition thereto, the sequence of processing orders may be by
price level such that orders at better prices are matched
first.
[0137] In one embodiment, wherein an incoming order may further
comprise a request to modify or cancel a previously forwarded
received incoming order for a transaction of the associated
financial instrument, the match engine 106 or arriving order
allocator 214 may be further operative to process the request to
modify or cancel ahead of or after processing the others of the
forward subset of received incoming orders. Processing cancels
first, as was described above, may allow a trader to cancel an
order before another trader can capitalize on it. Processing
cancels last may increase trading volume.
[0138] In one embodiment, the operation of the system 200 further
includes detecting when two or more of the forwarded subset of
received incoming orders are counter to each other and have been
submitted by a single trading entity and prevent those two or more
orders from matching to each other [Block 512]. Such "self trading"
detection may be implemented in accordance with business and/or
regulatory rules implemented by the electronic trading system 100.
It will be appreciated that the, in one alternative embodiment, the
match engine 106 may attempt to identify suitable counter orders
from other traders so as to complete the transactions if possible
for all of the participants.
[0139] FIG. 3 depicts a block diagram of an match engine module 106
according to one embodiment, which in an exemplary implementation,
is implemented as part of the exchange computer system 100
described above. As used herein, an electronic trading system 100,
i.e. exchange, includes a place or system that receives and/or
executes orders. It will be appreciated that the disclosed
embodiments may be implemented by or in conjunction with other
modules or components of the electronic trading. While the
disclosed embodiments will be described with respect to a separate
implementation for each match engine, market or order book, it will
be appreciated that the disclosed embodiments may also be
implemented across the entire electronic trading system 100 such as
for example, by further denoting incoming orders by their intended
market and separately processing orders received for a given market
as described herein.
[0140] In particular, FIG. 3 depicts a block diagram of a system
300, which may also be referred to as an architecture, for
determining, by an electronic trading system 100, an allocation of
an incoming order for a transaction of a quantity of a financial
instrument at an order price among a plurality of previously
received but unsatisfied orders, stored in a first memory 110, e.g.
a match engine memory 110 or order book memory/database 110, for a
transaction counter thereto at the order price for a total quantity
of the financial instrument that is less than the quantity of the
incoming order, wherein each of the plurality of previously
received but unsatisfied orders is characterized by a time of
receipt at which the previously received but unsatisfied order was
received by the electronic trading system 100, such as incoming
orders to trade a financial product, received via a network, such
as the network 126 of FIG. 1, from a plurality of market
participants. Wherein, as described, the electronic trading system
100 comprising a match engine 106 which implements a market for an
associated financial instrument by being operative to attempt to
match an incoming order for a transaction for the associated
financial instrument with at least one other previously received
but unsatisfied order for a transaction counter thereto for the
associated financial instrument, to at least partially satisfy one
or both of the incoming order or the at least one other previously
received order.
[0141] The system 300 includes an match engine order receiver 306,
which may be implemented as a separate component or as one or more
logic components, such as on an FPGA which may include a memory or
reconfigurable component to store logic and processing component to
execute the stored logic, or as first logic 306, e.g. computer
program logic, stored in a memory 304, or other non-transitory
computer readable medium, and executable by a processor 302, such
as the processor 402 and memory 404 described below with respect to
FIG. 4, to cause the processor 302 to, or otherwise be operative
to, receive the incoming order.
[0142] The system 300 further includes an order monitor 308,
coupled with the match engine memory 110, which may be implemented
as a separate component or as one or more logic components, such as
on an FPGA which may include a memory or reconfigurable component
to store logic and processing component to execute the stored
logic, or as second logic 308, e.g. computer program logic, stored
in a memory 304, or other non-transitory computer readable medium,
and executable by a processor 302, such as the processor 402 and
memory 404 described below with respect to FIG. 4, to cause the
processor 302 to, or otherwise be operative to, determine an elapse
of time and based on the magnitude thereof, divide the plurality of
previously received but unsatisfied orders into at least one
non-overlapping subset thereof, each comprising at least one of the
plurality of previously received but unsatisfied orders, as a
function of the time of receipt thereof.
[0143] The system 300 further includes an order allocator 310,
coupled with the match engine memory 110, the match engine order
receiver 306 and the order monitor 308, and which may be
implemented as a separate component or as one or more logic
components, such as on an FPGA which may include a memory or
reconfigurable component to store logic and processing component to
execute the stored logic, or as third logic 308, e.g. computer
program logic, stored in a memory 304, or other non-transitory
computer readable medium, and executable by a processor 302, such
as the processor 402 and memory 404 described below with respect to
FIG. 4, to cause the processor 302 to, or otherwise be operative
to, allocate the quantity of the incoming order to each of the at
least one subset of previously received but unsatisfied orders
according to a first allocation algorithm and subsequently thereto,
allocate the quantity allocated to each subset of previously
received but unsatisfied orders among the previously received but
unsatisfied orders thereof according to a second allocation
algorithm different from the first allocation algorithm.
[0144] Generally, the disclosed embodiments directed to allocation
of an incoming order among resting orders apply to a resting order
book and implement a decay function which may lower, relative to an
entirely time-priority/FIFO based allocation, the benefit of being
first to place an order, e.g., being first at a price level, as the
order and/or the price level ages on the order book without being
matched. As opposed to the hybrid allocation methodologies
discussed above which either fix the application of a set of
allocation methods or switch among methodologies based on the
occurrence of particular conditions, the disclosed embodiments'
reliance on the passage of time results in a more graceful
transition among allocation methodologies as well as permits a more
direct targeting of specific orders and price levels for
controlling allocation thereto over time, e.g. may allow for an
early order to maintains priority over a much later order as
opposed to a more proximately received order. As resting orders
and/or a price level ages, the resting orders may be
clustered/grouped together, such as by temporal proximity, up to a
threshold limit or until all orders are grouped together in a
single grouping. When a suitably matching incoming order is
received, it is first allocated across the order groups according
to a first allocation algorithm, e.g. FIFO, and then the quantity
allocated to each group is reallocated to the orders of that group
according to a second allocation algorithm, e.g. pro rata. As will
be understood, if an incoming order matching order is received soon
after a resting order was received, the resting order may still
have time priority and will be matched first, despite the
subsequent receipt of other suitable resting orders. However, as
time passes without a suitable incoming order having been received,
the resting order will gradually be grouped with other suitable
resting orders, the degree of grouping increasing over time, such
that when the suitable incoming order is finally receiving, the
earliest received resting order may have to share that incoming
order pro rata with other later received resting orders. Traders
who place their orders first cannot lock up the order book due to
their time priority and traders who seek pro rata allocation may be
exposed to a FIFO allocation initially, tempering their willingness
to inflate their order quantity or otherwise "top off" their orders
by increasing their quantity after a small partial fill occurs
(since doing so, in at least one embodiment herein, will deprecate
their priority).
[0145] As incoming order allocation is really only an issue when
the incoming order quantity, or residual quantity after first
satisfying a better price level, is less than the total quantity of
the resting orders at a given matching price level, the disclosed
embodiments will be discussed specifically with reference to the
situation of an incoming order having a quantity less than the
total quantity resting at a given price level. It will be
appreciated that the disclosed embodiments may be utilized when the
incoming quantity is greater than the total resting quantity, but
the result will be the same, all orders will be filled.
Furthermore, where the incoming order is first matched against a
first price level which is fully satisfied thereby, leaving
residual quantity for matching with a next better price level, the
disclosed embodiments may be applicable thereto and it will be
understood that reference herein the quantity of the incoming order
may refer to the residual quantity after first satisfying one or
more better price levels.
[0146] For example, orders resting on the order book for less than
10 ms may be treated as individual groups and, upon receipt of a
suitable matching incoming order, be allocated on a time
priority/FIFO basis. However, if a suitable incoming order is not
received within 10 ms, the resting orders may be grouped such as by
orders having been received within 2 ms of each other. However,
more recently received resting orders, i.e. younger orders, remain
ungrouped, albeit, based on the FIFO allocation, prioritized behind
the groups of previously resting orders. After another 10 ms
without a suitable incoming order, the resting orders, may be
regrouped, such s based on orders being within 4 ms of each other,
effectively collecting more orders within each group and thereby
diminishing the time priority value of any one order therein. This
may be a continuous process performed as an incoming order is
received or based on some other event or the elapse of time. As
resting orders are satisfied or canceled, the groups may be
reevaluated based, for example, on the oldest order or on the age
of the particular price level at which orders are resting.
[0147] Effectively, this provides time decay for a particular
resting order from, for example, a FIFO allocation to a pro rata
allocation, with both the initial FIFO benefit and the rate of
decay to pro rata being fully configurable, such as market by
market. By applying the disclosed decay process by price level,
traders who better a price, i.e. are first to place an order at a
particular price, get the benefit of FIFO allocation initially but
the benefit decays reflecting the view that as time passes, one
should not be rewarded as much for being first. The rate of decay
may be tailored so as to: [0148] Discourage traders from placing or
modifying an order for more quantity than the trader really wants
in order to secure a larger pro-rata portion. Modifications as to
quantity may cost a trader their time priority position. The slower
the decay, the greater the penalty for losing time priority which
will then dis-incentivize traders to increase quantity as a price
level fills; [0149] Discourage traders from joining a pro-rata
market late with a large size as, due to the time priority, they
will be filled last; [0150] Provide the benefit of FIFO to traders
who place market-turning orders but discourage traders from
stacking price levels at the beginning of the day (or other trading
period) to secure early time priority position; or [0151]
Automatically handle markets which move quickly at some times of
the day, e.g. during daylight hours, and move slowly at other
times, e.g. during overnight hours. During times of quick price
movement, FIFO will be primarily used, however during times of slow
price movement, pro rata will be more likely, benefiting, for
example, traders willing to quote overnight.
[0152] In further implementations, the decay function and/or the
grouping criteria may be altered based on external or internal
triggers such as: [0153] release of economic indicators, government
reports or earnings reports, etc. Slowing the decay function around
the release may incentivize order placement prior to the release
because those orders would more likely receive a FIFO allocation;
or [0154] based on time of day. Use the decay function to shift
between a fully FIFO market (slow decay) and fully pro rata market
(fast decay) as necessary.
[0155] While the disclosed system for prioritizing order allocation
is discussed separately from the embodiments discussed above relate
to incoming order regulation, it will be appreciated that they may
be implemented separately or in conjunction with each other and all
such implementations are contemplated herein. In combined
implementations, the batching of incoming orders may be the basis
for grouping those orders which get rested on the order book as
time passes. It will be appreciated that where the batching is
based on order arrival time, the grouping function may similarly
rely on the order arrival time for grouping purposes without
knowledge of the batching process based thereon.
[0156] Generally, the evaluation of the decay and the subsequent
grouping of orders for allocation priority is performed just prior
to the processing of a suitably matching incoming order. However,
it will be appreciated that the decay evaluation and grouping may
be performed at other times, such as subsequent to the processing
of suitably matching incoming order.
[0157] In one embodiment, the quantity of the incoming order
further comprises a residual quantity thereof remaining after fully
satisfying one or more other previously received but unsatisfied
orders for a transaction counter thereto at a price better than the
order price for a total quantity of the financial instrument that
is less than the quantity of the incoming order.
[0158] In one embodiment, the time of receipt of each of the
plurality of previously received but unsatisfied orders comprises a
time at which the electronic trading system determined the
previously received order was unsatisfied.
[0159] In one embodiment, the order monitor 308 is operative to
determine the elapse of time as the amount of time passed since an
event has occurred. For example, in one embodiment, the order
monitor 308 is operative to determine the elapse of time as the
amount of time passed since the oldest of the plurality of
previously received but unsatisfied orders was received by the
electronic trading system. It will be appreciated that basing the
decay on the oldest order may cause anomalous results when the
oldest order is canceled or satisfied, e.g. where other resting
orders may shift from pro-rata back to FIFO and some orders fail to
be satisfied. It will be appreciated that the elapse of time may be
determined based on other events such as a time of a most recent
trade, etc.
[0160] Alternatively, in one embodiment, the order monitor 308 is
operative to determine the elapse of time as the amount of time
passed since a first previously received order for a transaction of
a quantity of the financial instrument at the order price was
determined to be unsatisfied when there were no other previously
received but unsatisfied orders at the order price received prior
thereto stored in the match engine memory. In particular, the
elapse of time may be measured as the age of the price level, i.e.
the amount of time since a first order was rested at the particular
price level when there were previously no resting orders at that
price level. In one embodiment, modification or cancellation of
this first order, such as to alter its quantity, may not affect the
determined price level age. Alternatively, such a modification or
cancellation may cause the price level age to be determined based
on the next later order at that price level. Alternatively, in one
embodiment, the order monitor 308 is operative to determine the
elapse of time as the amount of time passed since the first
previously received order for a transaction of a quantity of the
financial instrument at the order price in excess of a threshold
quantity was determined to be unsatisfied when there were no other
previously received but unsatisfied orders at the order price
received prior thereto stored in the memory at all or which
exceeded the threshold quantity. By defining the decay based on the
age of each price level, satisfaction or cancellation of the oldest
orders no longer affects the decay and grouping computation. In one
embodiment, the first previously received order is no longer one of
the plurality of previously received orders, e.g. because it was
satisfied or canceled.
[0161] In one embodiment, the elapse of time resets upon
satisfaction or cancellation of all of the plurality of previously
received but unsatisfied orders. In one embodiment, the elapse of
time resets upon occurrence of an event, e.g. at close of the
market, interruption of trading, etc. In one embodiment, the elapse
of time resets upon the total quantity of the plurality of
previously received but unsatisfied orders decreases below a
threshold quantity subsequent to allocation of the incoming
order.
[0162] In one embodiment, the previously received but unsatisfied
orders of a subset are all accorded a time of receipt by the
electronic trading system associated with the oldest previously
received but unsatisfied order of the subset for use by the order
monitor after a subsequent determination of an elapse of time.
[0163] In one embodiment, the division of the plurality of
previously received but unsatisfied orders into the at least one
subset thereof is based on the time of receipt of each of the
plurality of previously received but unsatisfied orders being
within a threshold of the time of receipt of another of the
plurality of previously received but unsatisfied orders, the
magnitude of the threshold being a function of the magnitude of the
determined elapse of time, wherein those previously received but
unsatisfied orders having a time of receipt within the threshold of
another of the plurality of previously received but unsatisfied
orders are included in the same subset. This may be referred to as
a "floating batch."
[0164] In one embodiment, the division of the plurality of
previously received but unsatisfied orders is based on the time of
receipt of thereof rounded up to a threshold time increment, the
magnitude of the threshold time increment being a function of the
magnitude of the determined elapse of time, wherein those
previously received but unsatisfied orders having a rounded time of
receipt within the same threshold time increment are included in
the same subset. This may be referred to as a "fixed batch."
[0165] It will be appreciated that Fixed batches may be more
predictable to the trader. If they know the book population time
and their time they can know with assurance where their orders fit
in. Floating batches may be less predictable since the groupings
are based on a reference that could change over time, potentially
very quickly as orders are cancelled. Both Fixed and Floating
batches could have edge case side effects as will be understood.
Fixed batches could cause odd side effects if not defined properly.
Consider orders at 100, 700, 1050 ms. At time T1 the groups are 400
ms, And the grouping is A BC At time T2 the groups are 500 ms and
the grouping is A B C. C loses priority as time passes without B
joining the A group, which may be the opposite of the intended
result. An example of a function that would not cause this is a
doubling function--if the groups increase by doubling (400 to 800
rather than 400 to 500). This may be defined as a rule, which may
be implemented by an alternative embodiment, that once two orders
are combined in a priority group they should never be separated;
their group can combine with other groups or add additional orders
but they should never split. This may preserve the decay
property.
[0166] In one embodiment, the division of the plurality of
previously received but unsatisfied orders increasingly reduces
differentiation of the plurality of previously received but
unsatisfied orders by their time of receipt as the magnitude of the
elapse of time increases. In one embodiment, as the magnitude of
the elapse of time increases, the number of subsets of the
plurality of previously received but unsatisfied orders decreases.
In one embodiment, the reduction of differentiation increases
continuously. In one embodiment, the reduction of differentiation
increases incrementally.
[0167] In one embodiment, the first allocation algorithm comprises
first in first out ("FIFO") and the second allocation algorithm
comprises pro rata. In one embodiment, the first and second
matching algorithms may each comprise a pro-rata algorithm, a first
in first out ("FIFO") algorithm, a Price Explicit Time algorithm,
an Order Level Pro Rata algorithm, an Order Level Priority Pro Rata
algorithm, a Preference Price Explicit Time algorithm, a Preference
Order Level Pro Rata algorithm, a Preference Order Level Priority
Pro Rata algorithm, a Threshold Pro-Rata algorithm, a Priority
Threshold Pro-Rata algorithm, a Preference Threshold Pro-Rata
algorithm, a Priority Preference Threshold Pro-Rata algorithm, a
Split Price-Time Pro-Rata algorithm, or combinations thereof
[0168] It will be appreciated that the change of the grouping
criteria relative to the elapse of time may be incremental, such as
by using a look up table which relates order/price level age, or
groups thereof, to particular grouping criteria to be applied.
Alternatively, grouping criteria may be a function of the elapse of
time wherein the function factors in [0169] The time the price
level has had non-zero quantity [0170] The time the price level has
had quantity over a certain configurable amount [0171] The arrival
time of all orders, specifically the oldest and newest orders
[0172] The time since the last trade [0173] A fixed lookup table
[0174] Time of day, response time of the match engine, and/or other
factors; and/or [0175] combinations thereof.
[0176] In one embodiment, the grouping criteria may have a maximum
upper bound such that no matter how much time passes, the resting
orders will not be further grouped together. In this embodiment,
for example, resting orders will never fully decay to an entirely
pro rata allocation methodology. Alternatively, the grouping
criteria may increasingly progress until all resting orders are
grouped together resulting in an entirely pro rata allocation. In
one embodiment, the grouping criteria may be constant, e.g. 1 ms
interorder difference or 1 ms interval regardless of price level or
oldest order age, such that FIFO is generally preserved except for
closely spaced orders. In such an embodiment where the grouping
criteria is larger, e.g. 10 seconds, pro rata allocation may be
generally preserved except for orders which rest at a price level
just prior to a trade event. It will be appreciated that the
desired grouping criteria may depend on the characteristics of the
particular market, e.g. volatility or frequency at which orders are
received, and the intended goal, e.g. to favor FIFO over pro rata
or vice versa, etc.
[0177] FIG. 6 depicts a flow chart showing operation of the system
300 of FIG. 3. In particular FIG. 6 shows a computer implemented
method for determining, by an electronic trading system 100, an
allocation of an incoming order for a transaction of a quantity of
a financial instrument at an order price among a plurality of
previously received but unsatisfied orders, stored in a match
engine memory, for a transaction counter thereto at the order price
for a total quantity of the financial instrument that is less than
the quantity of the incoming order, wherein each of the plurality
of previously received but unsatisfied orders is characterized by a
time of receipt at which the previously received but unsatisfied
order was received by the electronic trading system 100.
[0178] The operation of the system 300 includes: receiving, by a
match engine processor, the incoming order [Block 602];
determining, by the match engine processor, an elapse of time and
based on the magnitude thereof, dividing the plurality of
previously received but unsatisfied orders into at least one
non-overlapping subset thereof, each comprising at least one of the
plurality of previously received but unsatisfied orders, as a
function of the time of receipt thereof [Block 604]; and
allocating, by the match engine processor, the quantity of the
incoming order to each of the at least one subset of previously
received but unsatisfied orders according to a first allocation
algorithm and subsequently thereto, allocating the quantity
allocated to each subset of previously received but unsatisfied
orders among the previously received but unsatisfied orders thereof
according to a second allocation algorithm different from the first
allocation algorithm [Block 606].
[0179] Generally, the disclosed embodiments apply to a resting
order book and implement a decay function which lowers the benefit
of being first to place an order, e.g., being first at a price
level, as the order and/or the price level ages on the order book
without being matched. As opposed to the hybrid allocation
methodologies discussed above which either fix the application of a
set of allocation methods or switch among methodologies based on
the occurrence of particular conditions, the disclosed embodiments'
reliance on the passage of time results in a more graceful
transition among allocation methodologies as well as permits a more
direct targeting of specific orders and price levels for
controlling allocation thereto over time, e.g. may allow for an
early order to maintain priority over a much later order as opposed
to a more proximately received order. As resting orders and/or a
price level ages, the resting orders are clustered/grouped
together, such as by temporal proximity. When a suitably matching
incoming order is received, it is first allocated across the order
groups according to a first allocation algorithm, e.g. FIFO, and
then the quantity allocated to each group is reallocated to the
orders of that group according to a second allocation algorithm,
e.g. pro rata. As will be understood, if an incoming order matching
order is received soon after a resting order was received, the
resting order may still have time priority and will be matched
first, despite the subsequent receipt of other suitable resting
orders. However, as time passes without a suitable incoming order
having been received, the resting order will gradually be grouped
with other suitable resting orders, the degree of grouping
increasing over time, such that when the suitable incoming order is
finally receiving, the earliest received resting order may have to
share that incoming order pro rata with other later received
resting orders. Traders who place their orders first cannot lock up
the order book due to their time priority and traders who seek pro
rata allocation may be exposed to a FIFO allocation initially,
tempering their willingness to inflate their order quantity.
[0180] As incoming order allocation is really only an issue when
the incoming order quantity, or residual quantity after first
satisfying a better price level, is less than the total quantity of
the resting orders at a given matching price level, the disclosed
embodiments will be discussed specifically with reference to the
situation of an incoming order having a quantity less than the
total quantity resting at a given price level. It will be
appreciated that the disclosed embodiments may be utilized when the
incoming quantity is greater than the total resting quantity, but
the result will be the same, all orders will be filled.
Furthermore, where the incoming order is first matched against a
first price level which is fully satisfied thereby, leaving
residual quantity for matching with a next better price level, the
disclosed embodiments may be applicable thereto and it will be
understood that reference herein the quantity of the incoming order
may refer to the residual quantity after first satisfying one or
more better price levels.
[0181] For example, orders resting on the order book for less than
10 ms may be treated as individual groups and, upon receipt of a
suitable matching incoming order, be allocated on a time
priority/FIFO basis. However, if a suitable incoming order is not
received within 10 ms, the resting orders may be grouped such as by
orders having been received within 2 ms of each other. However,
more recently received resting orders, i.e. younger orders, remain
ungrouped, albeit, based on the FIFO allocation, prioritized behind
the groups of previously resting orders. After another 10 ms
without a suitable incoming order, the resting orders, may be
regrouped, such s based on orders being within 4 ms of each other,
effectively collecting more orders within each group and thereby
diminishing the time priority value of any one order therein. This
may be a continuous process performed as an incoming order is
received or based on some other event or the elapse of time. As
resting orders are satisfied or canceled, the groups may be
reevaluated based, for example, on the oldest order or on the age
of the particular price level at which orders are resting.
[0182] Effectively, this provides time decay for a particular
resting order from, for example, a FIFO allocation to a pro rata
allocation, with both the initial FIFO benefit and the rate of
decay to pro rata being fully configurable, such as market by
market. By applying the disclosed decay process by price level,
traders who better a price, i.e. are first to place an order at a
particular price, get the benefit of FIFO allocation initially but
the benefit decays reflecting the view that as time passes, one
should not be rewarded as much for being first. The rate of decay
may be tailored so as to: [0183] Discourage traders from placing or
modifying an order for more quantity than the trader really wants
in order to secure a larger pro-rata portion. Modifications as to
quantity may cost a trader their time priority position. The slower
the decay, the greater the penalty for losing time priority which
will then dis-incentivize traders to increase quantity as a price
level fills; [0184] Discourage traders from joining a pro-rata
market late with a large size as, due to the time priority, they
will be filled last; [0185] Provide the benefit of FIFO to traders
who place market-turning orders but discourage traders from
stacking price levels at the beginning of the day (or other trading
period) to secure early time priority position; or [0186]
Automatically handle markets which move quickly at some times of
the day, e.g. during daylight hours, and move slowly at other
times, e.g. during overnight hours. During times of quick price
movement, FIFO will be primarily used, however during times of slow
price movement, pro rata will be more likely, benefiting, for
example, traders willing to quote overnight.
[0187] In further implementations, the decay function and/or the
grouping criteria may be altered based on external or internal
triggers such as: [0188] release of economic indicators, government
reports or earnings reports, etc. Slowing the decay function around
the release may incentivize order placement prior to the release
because those orders would more likely receive a FIFO allocation;
or [0189] based on time of day. Use the decay function to shift
between a fully FIFO market (slow decay) and fully pro rata market
(fast decay) as necessary.
[0190] While the disclosed system for prioritizing order allocation
is discussed separately from the embodiments discussed above relate
to incoming order regulation, it will be appreciated that they may
be implemented separately or in conjunction with each other and all
such implementations are contemplated herein. In combined
implementations, the batching of incoming orders may be the basis
for grouping those orders which get rested on the order book as
time passes. It will be appreciated that where the batching is
based on order arrival time, the grouping function may similarly
rely on the order arrival time for grouping purposes without
knowledge of the batching process based thereon.
[0191] Generally, the evaluation of the decay and the subsequent
grouping of orders for allocation priority is performed just prior
to the processing of a suitably matching incoming order. However,
it will be appreciated that the decay evaluation and grouping may
be performed at other times, such as subsequent to the processing
of suitably matching incoming order.
[0192] In one embodiment, the quantity of the incoming order
further comprises a residual quantity thereof remaining after fully
satisfying one or more other previously received but unsatisfied
orders for a transaction counter thereto at a price better than the
order price for a total quantity of the financial instrument that
is less than the quantity of the incoming order.
[0193] In one embodiment, the time of receipt of each of the
plurality of previously received but unsatisfied orders comprises a
time at which the electronic trading system determined the
previously received order was unsatisfied.
[0194] In one embodiment, the determining further comprises
determining the elapse of time as the amount of time passed since
an event has occurred. For example, in one embodiment, the elapse
of time is determined as the amount of time passed since the oldest
of the plurality of previously received but unsatisfied orders was
received by the electronic trading system. It will be appreciated
that basing the decay on the oldest order may cause anomalous
results when the oldest order is canceled or satisfied, e.g. where
other resting orders may shift from pro-rata back to FIFO and some
orders fail to be satisfied. It will be appreciated that the elapse
of time may be determined based on other events such as a time of a
most recent trade, etc.
[0195] In one embodiment, the elapse of time is determined as the
amount of time passed since a first previously received order for a
transaction of a quantity of the financial instrument at the order
price was determined to be unsatisfied when there were no other
previously received but unsatisfied orders at the order price
received prior thereto stored in the memory. In particular, the
elapse of time may be measured as the age of the price level, i.e.
the amount of time since a first order was rested at the particular
price level when there were previously no resting orders at that
price level. In one embodiment, modification or cancellation of
this first order, such as to alter its quantity, may not affect the
determined price level age. Alternatively, such a modification or
cancellation may cause the price level age to be determined based
on the next later order at that price level. Alternatively, in one
embodiment, the elapse of time is determined as the amount of time
passed since the first previously received order for a transaction
of a quantity of the financial instrument at the order price in
excess of a threshold quantity was determined to be unsatisfied
when there were no other previously received but unsatisfied orders
at the order price received prior thereto stored in the memory at
all or which exceeded the threshold quantity. By defining the decay
based on the age of each price level, satisfaction or cancellation
of the oldest orders no longer affects the decay and grouping
computation. In one embodiment, the first previously received order
is no longer one of the plurality of previously received orders,
e.g. because it was satisfied or canceled.
[0196] In one embodiment, the elapse of time resets upon
satisfaction or cancellation of all of the plurality of previously
received but unsatisfied orders. In one embodiment, the elapse of
time resets upon occurrence of an event, e.g. at close of the
market, interruption of trading, etc. In one embodiment, the elapse
of time resets upon the total quantity of the plurality of
previously received but unsatisfied orders decreases below a
threshold quantity subsequent to allocation of the incoming
order.
[0197] In one embodiment, the previously received but unsatisfied
orders of a subset are all accorded a time of receipt by the
electronic trading system associated with the oldest previously
received but unsatisfied order of the subset for use by the order
monitor after a subsequent determination of an elapse of time.
[0198] In one embodiment, the division of the plurality of
previously received but unsatisfied orders into the at least one
subset thereof is based on the time of receipt of each of the
plurality of previously received but unsatisfied orders being
within a threshold of the time of receipt of another of the
plurality of previously received but unsatisfied orders, the
magnitude of the threshold being a function of the magnitude of the
determined elapse of time, wherein those previously received but
unsatisfied orders having a time of receipt within the threshold of
another of the plurality of previously received but unsatisfied
orders are included in the same subset. This may be referred to as
a "floating batch."
[0199] In one embodiment, the division of the plurality of
previously received but unsatisfied orders is based on the time of
receipt of thereof rounded up to a threshold time increment, the
magnitude of the threshold time increment being a function of the
magnitude of the determined elapse of time, wherein those
previously received but unsatisfied orders having a rounded time of
receipt within the same threshold time increment are included in
the same subset. This may be referred to as a "fixed batch."
[0200] It will be appreciated that Fixed batches may be more
predictable to the trader. If they know the book population time
and their time they can know with assurance where their orders fit
in. Floating batches may be less predictable since the groupings
are based on a reference that could change over time, potentially
very quickly as orders are cancelled. Both Fixed and Floating
batches could have edge case side effects as will be understood.
Fixed batches could cause odd side effects if not defined properly.
Consider orders at 100, 700, 1050 ms. At time T1 the groups are 400
ms, And the grouping is A BC At time T2 the groups are 500 ms and
the grouping is A B C. C loses priority as time passes without B
joining the A group, which may be the opposite of the intended
result. An example of a function that would not cause this is a
doubling function--if the groups increase by doubling (400 to 800
rather than 400 to 500). This may be defined as a rule, which may
be implemented by an alternative embodiment, that once two orders
are combined in a priority group they should never be separated;
their group can combine with other groups or add additional orders
but they should never split. This may preserve the decay
property.
[0201] In one embodiment, the division of the plurality of
previously received but unsatisfied orders increasingly reduces
differentiation of the plurality of previously received but
unsatisfied orders by their time of receipt as the magnitude of the
elapse of time increases. In one embodiment, as the magnitude of
the elapse of time increases, the number of subsets of the
plurality of previously received but unsatisfied orders decreases.
In one embodiment, the reduction of differentiation increases
continuously. In one embodiment, the reduction of differentiation
increases incrementally.
[0202] In one embodiment, the first allocation algorithm comprises
first in first out ("FIFO") and the second allocation algorithm
comprises pro rata. In one embodiment, the first and second
matching algorithms may each comprise a pro-rata algorithm, a first
in first out ("FIFO") algorithm, a Price Explicit Time algorithm,
an Order Level Pro Rata algorithm, an Order Level Priority Pro Rata
algorithm, a Preference Price Explicit Time algorithm, a Preference
Order Level Pro Rata algorithm, a Preference Order Level Priority
Pro Rata algorithm, a Threshold Pro-Rata algorithm, a Priority
Threshold Pro-Rata algorithm, a Preference Threshold Pro-Rata
algorithm, a Priority Preference Threshold Pro-Rata algorithm, a
Split Price-Time Pro-Rata algorithm, or combinations thereof
[0203] It will be appreciated that the change of the grouping
criteria relative to the elapse of time may be incremental, such as
by using a look up table which relates order/price level age, or
groups thereof, to particular grouping criteria to be applied.
Alternatively, grouping criteria may be a function of the elapse of
time wherein the function factors in [0204] The time the price
level has had non-zero quantity [0205] The time the price level has
had quantity over a certain configurable amount [0206] The arrival
time of all orders, specifically the oldest and newest orders
[0207] The time since the last trade [0208] A fixed lookup table
[0209] Time of day, response time of the match engine, and/or other
factors; and/or [0210] combinations thereof.
[0211] In one embodiment, the grouping criteria may have a maximum
upper bound such that no matter how much time passes, the resting
orders will not be further grouped together. In this embodiment,
for example, resting orders will never fully decay to an entirely
pro rata allocation methodology. Alternatively, the grouping
criteria may increasingly progress until all resting orders are
grouped together resulting in an entirely pro rata allocation. In
one embodiment, the grouping criteria may be constant, e.g. 1 ms,
such that FIFO is generally preserved except for closely spaced
orders.
[0212] FIGS. 7A-C show exemplary operation of the disclosed
embodiments for prioritizing incoming order allocation to resting
orders. FIG. 7A, in particular, shows how the resting orders group
together based on the defined decay rule/grouping criteria
depending on how long it takes for incoming order X to be received,
i.e. at T+1, T+2, T+3 or T+4. In this example, grouping is based on
the oldest resting order. FIG. 7B shows an example operation of the
disclosed embodiments considering the case of the oldest order
being filled and the grouping criteria then changing based on the
next oldest order, which may be similar to the scenario where the
oldest order was instead canceled, i.e. that the oldest order was
removed from the resting book. In this example, the allocation of
the incoming order is demonstrated as a function of when it was
received, i.e. at T+1, T+2, T+3 or T+4. The case of T+1 seconds is
effectively FIFO, as in the example of FIG. 7A. At T+2 seconds, the
initial grouping of [A B] is fully filled. The new "oldest resting
order" is C, which is 1400 ms old. By the rule in the lookup table,
we group orders by 250 milliseconds, which puts C and D in the same
group. Quantity is assigned pro-rata, with D getting 133 rounded
up. At T+3 seconds, the initial grouping becomes [A B C]. The
quantity of the incoming order is not enough to fully satisfy, so
no second round is done.
[0213] From the perspective of the trader of order D this result
may seem anomalous, that the same trade that happens a second apart
shuts them out--it doesn't decay smoothly from FIFO to pro-rata. It
does start at FIFO and end at pro-rata, but there is a possible
disconnect in the middle where the order goes from getting filled
to not getting filled and then back.
[0214] FIG. 7C shows an example using the "time the price level had
more than zero quantity" as the peg time rather than the time of
the oldest resting order. In particular, once a trader creates the
price level by putting an order on it, that time is kept as the
oldest time for the price level until the price level is fully
eliminated, which could happen either by order cancellation,
trading out, or market close. This effectively shifts the algorithm
to pro-rata in markets that have slow price movement. As an
alternative, the mechanism could be based on the time the price
level went above a defined/configurable quantity which would
prevent someone from putting a 1 lot out on a market early just to
force it to be pro-rata when they finally wanted to trade. As will
be seen in the example of FIG. 7C, In this case four algorithms are
being compared at a single point in time (T+1 seconds). There are
two immediately consecutive arriving orders, one for 500 and one
for 100. That results in two distinct allocations (the columns),
resulting in a total allocation for each resting order (The total
allocation column). There's also a column called "Single order?",
which shows the allocation if a single 600 lot order came in
instead of a 500 lot immediately followed by a 100 lot.
[0215] It can be seen that when pegged to the oldest order, the
resulting allocation is different when 600 quantity arrives as
(500,100) rather than (600). This may be undesirable, as it may
lessen the predictability of the market.
[0216] This happens because when the decay tied to the oldest
order, the removal of orders A, B from the book (in this case via
trade) moves the batch from 500 ms down to 10 ms. That re-splits
orders C, D into different batches, regardless of which, fixed or
floating approach is taken to batching By pegging to the inception
time of the price level this effect is removed and more consistent
behavior is achieved. If at any point the quantity on the price
level goes from zero to non-zero quantity (or from below the
threshold to above the threshold, if configured that way), a new
inception value is set. This would likely be communicated to the
market place either via explicit message, or via implicit rule by
the timestamp when the market data book shows a certain
quantity.
[0217] FIG. 7D shows exemplary variations of the operation of the
disclosed embodiments as compared with singular allocation methods,
i.e. all FIFO or all pro rata, and compared with a non-temporal
hybrid methodology.
[0218] Referring to FIG. 4, an illustrative embodiment of a general
computer system 400 is shown. The computer system 400 can include a
set of instructions that can be executed to cause the computer
system 400 to perform any one or more of the methods or computer
based functions disclosed herein. The computer system 400 may
operate as a standalone device or may be connected, e.g., using a
network, to other computer systems or peripheral devices. Any of
the components or modules discussed above, such as the processors
202 and 302, may be a computer system 400 or a component in the
computer system 400. The computer system 400 may implement a match
engine, margin processing, payment or clearing function on behalf
of an exchange, such as the Chicago Mercantile Exchange, of which
the disclosed embodiments are a component thereof.
[0219] In a networked deployment, the computer system 400 may
operate in the capacity of a server or as a client user computer in
a client-server user network environment, or as a peer computer
system in a peer-to-peer (or distributed) network environment. The
computer system 400 can also be implemented as or incorporated into
various devices, such as a personal computer (PC), a tablet PC, a
set-top box (STB), a personal digital assistant (PDA), a mobile
device, a palmtop computer, a laptop computer, a desktop computer,
a communications device, a wireless telephone, a land-line
telephone, a control system, a camera, a scanner, a facsimile
machine, a printer, a pager, a personal trusted device, a web
appliance, a network router, switch or bridge, or any other machine
capable of executing a set of instructions (sequential or
otherwise) that specify actions to be taken by that machine. In a
particular embodiment, the computer system 400 can be implemented
using electronic devices that provide voice, video or data
communication. Further, while a single computer system 400 is
illustrated, the term "system" shall also be taken to include any
collection of systems or sub-systems that individually or jointly
execute a set, or multiple sets, of instructions to perform one or
more computer functions.
[0220] As illustrated in FIG. 4, the computer system 400 may
include a processor 402, e.g., a central processing unit (CPU), a
graphics processing unit (GPU), or both. The processor 402 may be a
component in a variety of systems. For example, the processor 402
may be part of a standard personal computer or a workstation. The
processor 402 may be one or more general processors, digital signal
processors, application specific integrated circuits, field
programmable gate arrays, servers, networks, digital circuits,
analog circuits, combinations thereof, or other now known or later
developed devices for analyzing and processing data. The processor
402 may implement a software program, such as code generated
manually (i.e., programmed).
[0221] The computer system 400 may include a memory 404 that can
communicate via a bus 408. The memory 404 may be a main memory, a
static memory, or a dynamic memory. The memory 404 may include, but
is not limited to computer readable storage media such as various
types of volatile and non-volatile storage media, including but not
limited to random access memory, read-only memory, programmable
read-only memory, electrically programmable read-only memory,
electrically erasable read-only memory, flash memory, magnetic tape
or disk, optical media and the like. In one embodiment, the memory
404 includes a cache or random access memory for the processor 402.
In alternative embodiments, the memory 404 is separate from the
processor 402, such as a cache memory of a processor, the system
memory, or other memory. The memory 404 may be an external storage
device or database for storing data. Examples include a hard drive,
compact disc ("CD"), digital video disc ("DVD"), memory card,
memory stick, floppy disc, universal serial bus ("USB") memory
device, or any other device operative to store data. The memory 404
is operable to store instructions executable by the processor 402.
The functions, acts or tasks illustrated in the figures or
described herein may be performed by the programmed processor 402
executing the instructions 412 stored in the memory 404. The
functions, acts or tasks are independent of the particular type of
instructions set, storage media, processor or processing strategy
and may be performed by software, hardware, integrated circuits,
firm-ware, micro-code and the like, operating alone or in
combination. Likewise, processing strategies may include
multiprocessing, multitasking, parallel processing and the
like.
[0222] As shown, the computer system 400 may further include a
display unit 414, such as a liquid crystal display (LCD), an
organic light emitting diode (OLED), a flat panel display, a solid
state display, a cathode ray tube (CRT), a projector, a printer or
other now known or later developed display device for outputting
determined information. The display 414 may act as an interface for
the user to see the functioning of the processor 402, or
specifically as an interface with the software stored in the memory
404 or in the drive unit 406.
[0223] Additionally, the computer system 400 may include an input
device 416 configured to allow a user to interact with any of the
components of system 400. The input device 416 may be a number pad,
a keyboard, or a cursor control device, such as a mouse, or a
joystick, touch screen display, remote control or any other device
operative to interact with the system 400.
[0224] In a particular embodiment, as depicted in FIG. 4, the
computer system 400 may also include a disk or optical drive unit
406. The disk drive unit 406 may include a computer-readable medium
410 in which one or more sets of instructions 412, e.g. software,
can be embedded. Further, the instructions 412 may embody one or
more of the methods or logic as described herein. In a particular
embodiment, the instructions 412 may reside completely, or at least
partially, within the memory 404 and/or within the processor 402
during execution by the computer system 400. The memory 404 and the
processor 402 also may include computer-readable media as discussed
above.
[0225] The present disclosure contemplates a computer-readable
medium that includes instructions 412 or receives and executes
instructions 412 responsive to a propagated signal, so that a
device connected to a network 420 can communicate voice, video,
audio, images or any other data over the network 420. Further, the
instructions 412 may be transmitted or received over the network
420 via a communication interface 418. The communication interface
418 may be a part of the processor 402 or may be a separate
component. The communication interface 418 may be created in
software or may be a physical connection in hardware. The
communication interface 418 is configured to connect with a network
420, external media, the display 414, or any other components in
system 400, or combinations thereof. The connection with the
network 420 may be a physical connection, such as a wired Ethernet
connection or may be established wirelessly as discussed below.
Likewise, the additional connections with other components of the
system 400 may be physical connections or may be established
wirelessly.
[0226] The network 420 may include wired networks, wireless
networks, or combinations thereof. The wireless network may be a
cellular telephone network, an 802.11, 802.16, 802.20, or WiMax
network. Further, the network 420 may be a public network, such as
the Internet, a private network, such as an intranet, or
combinations thereof, and may utilize a variety of networking
protocols now available or later developed including, but not
limited to TCP/IP based networking protocols.
[0227] Embodiments of the subject matter and the functional
operations described in this specification can be implemented in
digital electronic circuitry, or in computer software, firmware, or
hardware, including the structures disclosed in this specification
and their structural equivalents, or in combinations of one or more
of them. Embodiments of the subject matter described in this
specification can be implemented as one or more computer program
products, i.e., one or more modules of computer program
instructions encoded on a computer readable medium for execution
by, or to control the operation of, data processing apparatus.
While the computer-readable medium is shown to be a single medium,
the term "computer-readable medium" includes a single medium or
multiple media, such as a centralized or distributed database,
and/or associated caches and servers that store one or more sets of
instructions. The term "computer-readable medium" shall also
include any medium that is capable of storing, encoding or carrying
a set of instructions for execution by a processor or that cause a
computer system to perform any one or more of the methods or
operations disclosed herein. The computer readable medium can be a
machine-readable storage device, a machine-readable storage
substrate, a memory device, or a combination of one or more of
them. The term "data processing apparatus" encompasses all
apparatus, devices, and machines for processing data, including by
way of example a programmable processor, a computer, or multiple
processors or computers. The apparatus can include, in addition to
hardware, code that creates an execution environment for the
computer program in question, e.g., code that constitutes processor
firmware, a protocol stack, a database management system, an
operating system, or a combination of one or more of them.
[0228] In a particular non-limiting, exemplary embodiment, the
computer-readable medium can include a solid-state memory such as a
memory card or other package that houses one or more non-volatile
read-only memories. Further, the computer-readable medium can be a
random access memory or other volatile re-writable memory.
Additionally, the computer-readable medium can include a
magneto-optical or optical medium, such as a disk or tapes or other
storage device to capture carrier wave signals such as a signal
communicated over a transmission medium. A digital file attachment
to an e-mail or other self-contained information archive or set of
archives may be considered a distribution medium that is a tangible
storage medium. Accordingly, the disclosure is considered to
include any one or more of a computer-readable medium or a
distribution medium and other equivalents and successor media, in
which data or instructions may be stored.
[0229] In an alternative embodiment, dedicated hardware
implementations, such as application specific integrated circuits,
programmable logic arrays and other hardware devices, can be
constructed to implement one or more of the methods described
herein. Applications that may include the apparatus and systems of
various embodiments can broadly include a variety of electronic and
computer systems. One or more embodiments described herein may
implement functions using two or more specific interconnected
hardware modules or devices with related control and data signals
that can be communicated between and through the modules, or as
portions of an application-specific integrated circuit.
Accordingly, the present system encompasses software, firmware, and
hardware implementations.
[0230] In accordance with various embodiments of the present
disclosure, the methods described herein may be implemented by
software programs executable by a computer system. Further, in an
exemplary, non-limited embodiment, implementations can include
distributed processing, component/object distributed processing,
and parallel processing. Alternatively, virtual computer system
processing can be constructed to implement one or more of the
methods or functionality as described herein.
[0231] Although the present specification describes components and
functions that may be implemented in particular embodiments with
reference to particular standards and protocols, the invention is
not limited to such standards and protocols. For example, standards
for Internet and other packet switched network transmission (e.g.,
TCP/IP, UDP/IP, HTML, HTTP, HTTPS) represent examples of the state
of the art. Such standards are periodically superseded by faster or
more efficient equivalents having essentially the same functions.
Accordingly, replacement standards and protocols having the same or
similar functions as those disclosed herein are considered
equivalents thereof.
[0232] A computer program (also known as a program, software,
software application, script, or code) can be written in any form
of programming language, including compiled or interpreted
languages, and it can be deployed in any form, including as a
standalone program or as a module, component, subroutine, or other
unit suitable for use in a computing environment. A computer
program does not necessarily correspond to a file in a file system.
A program can be stored in a portion of a file that holds other
programs or data (e.g., one or more scripts stored in a markup
language document), in a single file dedicated to the program in
question, or in multiple coordinated files (e.g., files that store
one or more modules, sub programs, or portions of code). A computer
program can be deployed to be executed on one computer or on
multiple computers that are located at one site or distributed
across multiple sites and interconnected by a communication
network.
[0233] The processes and logic flows described in this
specification can be performed by one or more programmable
processors executing one or more computer programs to perform
functions by operating on input data and generating output. The
processes and logic flows can also be performed by, and apparatus
can also be implemented as, special purpose logic circuitry, e.g.,
an FPGA (field programmable gate array) or an ASIC (application
specific integrated circuit).
[0234] Processors suitable for the execution of a computer program
include, by way of example, both general and special purpose
microprocessors, and anyone or more processors of any kind of
digital computer. Generally, a processor will receive instructions
and data from a read only memory or a random access memory or both.
The essential elements of a computer are a processor for performing
instructions and one or more memory devices for storing
instructions and data. Generally, a computer will also include, or
be operatively coupled to receive data from or transfer data to, or
both, one or more mass storage devices for storing data, e.g.,
magnetic, magneto optical disks, or optical disks. However, a
computer need not have such devices. Moreover, a computer can be
embedded in another device, e.g., a mobile telephone, a personal
digital assistant (PDA), a mobile audio player, a Global
Positioning System (GPS) receiver, to name just a few. Computer
readable media suitable for storing computer program instructions
and data include all forms of nonvolatile memory, media and memory
devices, including by way of example semiconductor memory devices,
e.g., EPROM, EEPROM, and flash memory devices; magnetic disks,
e.g., internal hard disks or removable disks; magneto optical
disks; and CD ROM and DVD-ROM disks. The processor and the memory
can be supplemented by, or incorporated in, special purpose logic
circuitry.
[0235] To provide for interaction with a user, embodiments of the
subject matter described in this specification can be implemented
on a device having a display, e.g., a CRT (cathode ray tube) or LCD
(liquid crystal display) monitor, for displaying information to the
user and a keyboard and a pointing device, e.g., a mouse or a
trackball, by which the user can provide input to the computer.
Other kinds of devices can be used to provide for interaction with
a user as well; for example, feedback provided to the user can be
any form of sensory feedback, e.g., visual feedback, auditory
feedback, or tactile feedback; and input from the user can be
received in any form, including acoustic, speech, or tactile
input.
[0236] Embodiments of the subject matter described in this
specification can be implemented in a computing system that
includes a back end component, e.g., as a data server, or that
includes a middleware component, e.g., an application server, or
that includes a front end component, e.g., a client computer having
a graphical user interface or a Web browser through which a user
can interact with an implementation of the subject matter described
in this specification, or any combination of one or more such back
end, middleware, or front end components. The components of the
system can be interconnected by any form or medium of digital data
communication, e.g., a communication network. Examples of
communication networks include a local area network ("LAN") and a
wide area network ("WAN"), e.g., the Internet.
[0237] The computing system can include clients and servers. A
client and server are generally remote from each other and
typically interact through a communication network. The
relationship of client and server arises by virtue of computer
programs running on the respective computers and having a
client-server relationship to each other.
[0238] The illustrations of the embodiments described herein are
intended to provide a general understanding of the structure of the
various embodiments. The illustrations are not intended to serve as
a complete description of all of the elements and features of
apparatus and systems that utilize the structures or methods
described herein. Many other embodiments may be apparent to those
of skill in the art upon reviewing the disclosure. Other
embodiments may be utilized and derived from the disclosure, such
that structural and logical substitutions and changes may be made
without departing from the scope of the disclosure. Additionally,
the illustrations are merely representational and may not be drawn
to scale. Certain proportions within the illustrations may be
exaggerated, while other proportions may be minimized. Accordingly,
the disclosure and the figures are to be regarded as illustrative
rather than restrictive.
[0239] While this specification contains many specifics, these
should not be construed as limitations on the scope of the
invention or of what may be claimed, but rather as descriptions of
features specific to particular embodiments of the invention.
Certain features that are described in this specification in the
context of separate embodiments can also be implemented in
combination in a single embodiment. Conversely, various features
that are described in the context of a single embodiment can also
be implemented in multiple embodiments separately or in any
suitable sub-combination. Moreover, although features may be
described above as acting in certain combinations and even
initially claimed as such, one or more features from a claimed
combination can in some cases be excised from the combination, and
the claimed combination may be directed to a sub-combination or
variation of a sub-combination.
[0240] Similarly, while operations are depicted in the drawings and
described herein in a particular order, this should not be
understood as requiring that such operations be performed in the
particular order shown or in sequential order, or that all
illustrated operations be performed, to achieve desirable results.
In certain circumstances, multitasking and parallel processing may
be advantageous. Moreover, the separation of various system
components in the embodiments described above should not be
understood as requiring such separation in all embodiments, and it
should be understood that the described program components and
systems can generally be integrated together in a single software
product or packaged into multiple software products.
[0241] One or more embodiments of the disclosure may be referred to
herein, individually and/or collectively, by the term "invention"
merely for convenience and without intending to voluntarily limit
the scope of this application to any particular invention or
inventive concept. Moreover, although specific embodiments have
been illustrated and described herein, it should be appreciated
that any subsequent arrangement designed to achieve the same or
similar purpose may be substituted for the specific embodiments
shown. This disclosure is intended to cover any and all subsequent
adaptations or variations of various embodiments. Combinations of
the above embodiments, and other embodiments not specifically
described herein, will be apparent to those of skill in the art
upon reviewing the description.
[0242] The Abstract of the Disclosure is provided to comply with 37
C.F.R. .sctn.1.72(b) and is submitted with the understanding that
it will not be used to interpret or limit the scope or meaning of
the claims. In addition, in the foregoing Detailed Description,
various features may be grouped together or described in a single
embodiment for the purpose of streamlining the disclosure. This
disclosure is not to be interpreted as reflecting an intention that
the claimed embodiments require more features than are expressly
recited in each claim. Rather, as the following claims reflect,
inventive subject matter may be directed to less than all of the
features of any of the disclosed embodiments. Thus, the following
claims are incorporated into the Detailed Description, with each
claim standing on its own as defining separately claimed subject
matter.
[0243] It is therefore intended that the foregoing detailed
description be regarded as illustrative rather than limiting, and
that it be understood that it is the following claims, including
all equivalents, that are intended to define the spirit and scope
of this invention.
* * * * *